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

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  • Akbas, Ferhat
  • Markov, Stanimir
  • Subasi, Musa
  • Weisbrod, Eric

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.

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  • Akbas, Ferhat & Markov, Stanimir & Subasi, Musa & Weisbrod, Eric, 2018. "Determinants and consequences of information processing delay: Evidence from the Thomson Reuters Institutional Brokers’ Estimate System," Journal of Financial Economics, Elsevier, vol. 127(2), pages 366-388.
    • Handle: RePEc:eee:jfinec:v:127:y:2018:i:2:p:366-388
    DOI: 10.1016/j.jfineco.2017.11.005
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    Cited by:

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    9. Blankespoor, Elizabeth & deHaan, Ed & Marinovic, Iván, 2020. "Disclosure processing costs, investors’ information choice, and equity market outcomes: A review," Journal of Accounting and Economics, Elsevier, vol. 70(2).

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    More about this item

    Keywords

    Information intermediaries; information processing; limited attention; information distribution; price discovery;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G23 - Financial Economics - - Financial Institutions and Services - - - Non-bank Financial Institutions; Financial Instruments; Institutional Investors

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