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

• 成果类型: Article
• 署名作者: Akbas, Ferhat; Markov, Stanimir; Subasi, Musa; Weisbrod, Eric
• 署名单位: University of Illinois System; University of Illinois Chicago; University of Illinois Chicago Hospital; Southern Methodist University; University System of Maryland; University of Maryland College Park; University of Miami
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2017.11.005
• 发表日期: 2018
• 页码: 366-388
• 关键词: Information intermediaries; Information processing; limited attention; information distribution; Price discovery

摘要

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. (C) 2017 Elsevier B.V. All rights reserved.