Determinants and Consequences of Information Processing Delay: Evidence from the Thomson Reuters Institutional Brokers’ Estimate System
Publication Date
10-28-2016
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 is potentially exploitable. Finally, analyzing intra-day returns, we find that activations facilitate price discovery.
Document Type
Article
Keywords
Information intermediaries, information processing, limited attention, information distribution, price discovery
Disciplines
Accounting
DOI
10.2139/ssrn.2860521
Source
SMU Cox: Accounting (Topic)
Language
English
