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 Scopus citations

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

Keywords

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

ASJC Scopus subject areas

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

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