The Role of Data Providers as Information Intermediaries

Nic Schaub

Journal of Financial and Quantitative Analysis, 2018, vol. 53, issue 4, 1805-1838

Abstract: This study investigates whether financial data providers serve as information intermediaries in capital markets. To this end, I examine whether the timeliness of earnings information disseminated by First Call (Thomson Reuters) affects the market’s reaction to earnings announcements. I document that the immediate price and volume response is weaker and the post-earnings-announcement drift stronger for earnings news disseminated with a delay by First Call. To mitigate endogeneity concerns, I study the market reaction on the day of the delayed dissemination and show that a significant part of the stronger drift is clustered around this day.

Date: 2018
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