Determinants and consequences of information processing delay: Evidence from the Thomson Reuters Institutional Brokers’ Estimate System

Ferhat Akbas, Stanimir Markov, Musa Subasi and Eric Weisbrod

Journal of Financial Economics, 2018, vol. 127, issue 2, 366-388

Abstract: We present new evidence that highlights the role of information intermediaries in the distribution and processing of earnings estimates in capital markets. We find that the time taken to activate an analyst's earnings forecast in the Thomson Reuters Institutional Brokers’ Estimate System is related to measures of investor demand for timely information processing, processing difficulty, and limited attention. Furthermore, we find that forecast announcement returns are muted and post-announcement drift is magnified for forecasts with longer unexpected activation delay and that market inefficiency is concentrated in neglected stocks and potentially exploitable. Finally, analyzing intraday returns, we find that activations facilitate price discovery.

Keywords: Information intermediaries; information processing; limited attention; information distribution; price discovery (search for similar items in EconPapers)
JEL-codes: G14 G23 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:jfinec:v:127:y:2018:i:2:p:366-388

DOI: 10.1016/j.jfineco.2017.11.005

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