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

Ferhat Akbas, Stanimir Markov, Musa Subasi, Eric Weisbrod

Research output: Contribution to journalArticle

1 Citation (Scopus)

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.

Original languageEnglish (US)
Pages (from-to)366-388
Number of pages23
JournalJournal of Financial Economics
Volume127
Issue number2
DOIs
StatePublished - Feb 1 2018

Fingerprint

Information processing
Broker
Activation
Price discovery
Market inefficiency
Capital markets
Intermediaries
Announcement returns
Limited attention
Announcement
Investors
Analysts' earnings forecasts

Keywords

  • information distribution
  • Information intermediaries
  • information processing
  • limited attention
  • price discovery

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics
  • Strategy and Management

Cite this

Determinants and consequences of information processing delay : Evidence from the Thomson Reuters Institutional Brokers’ Estimate System. / Akbas, Ferhat; Markov, Stanimir; Subasi, Musa; Weisbrod, Eric.

In: Journal of Financial Economics, Vol. 127, No. 2, 01.02.2018, p. 366-388.

Research output: Contribution to journalArticle

@article{9bbf62ea61eb46b98c13de58450f42f9,
title = "Determinants and consequences of information processing delay: Evidence from the Thomson Reuters Institutional Brokers’ Estimate System",
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 distribution, Information intermediaries, information processing, limited attention, price discovery",
author = "Ferhat Akbas and Stanimir Markov and Musa Subasi and Eric Weisbrod",
year = "2018",
month = "2",
day = "1",
doi = "10.1016/j.jfineco.2017.11.005",
language = "English (US)",
volume = "127",
pages = "366--388",
journal = "Journal of Financial Economics",
issn = "0304-405X",
publisher = "Elsevier",
number = "2",

}

TY - JOUR

T1 - Determinants and consequences of information processing delay

T2 - Evidence from the Thomson Reuters Institutional Brokers’ Estimate System

AU - Akbas, Ferhat

AU - Markov, Stanimir

AU - Subasi, Musa

AU - Weisbrod, Eric

PY - 2018/2/1

Y1 - 2018/2/1

N2 - 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.

AB - 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.

KW - information distribution

KW - Information intermediaries

KW - information processing

KW - limited attention

KW - price discovery

UR - http://www.scopus.com/inward/record.url?scp=85035198215&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85035198215&partnerID=8YFLogxK

U2 - 10.1016/j.jfineco.2017.11.005

DO - 10.1016/j.jfineco.2017.11.005

M3 - Article

AN - SCOPUS:85035198215

VL - 127

SP - 366

EP - 388

JO - Journal of Financial Economics

JF - Journal of Financial Economics

SN - 0304-405X

IS - 2

ER -