Determinants and Consequences of Information Processing Delay: Evidence from the Thomson Reuters Institutional Brokers’ Estimate System

58 Pages Posted: 28 Oct 2016 Last revised: 10 Oct 2018

See all articles by Ferhat Akbas

Ferhat Akbas

University of Illinois at Chicago

Stanimir Markov

University of Texas at Dallas - Naveen Jindal School of Management

Musa Subasi

University of Maryland-College Park - Robert H. Smith School of Business

Eric H. Weisbrod

University of Miami - Department of Accounting

Date Written: February 6, 2017

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.

Keywords: Information intermediaries, information processing, limited attention, information distribution, price discovery

JEL Classification: G10, G20

Suggested Citation

Akbas, Ferhat and Markov, Stanimir and Subasi, Musa and Weisbrod, Eric H., Determinants and Consequences of Information Processing Delay: Evidence from the Thomson Reuters Institutional Brokers’ Estimate System (February 6, 2017). Journal of Financial Economics (JFE), 127 (2018) 366-388; University of Miami Business School Research Paper No. 18-7. Available at SSRN: https://ssrn.com/abstract=2860521 or http://dx.doi.org/10.2139/ssrn.2860521

Ferhat Akbas

University of Illinois at Chicago ( email )

1200 W Harrison St
Chicago, IL 60076
United States

Stanimir Markov

University of Texas at Dallas - Naveen Jindal School of Management ( email )

P.O. Box 830688
Richardson, TX 75083-0688
United States
972 883 5166 (Phone)

Musa Subasi (Contact Author)

University of Maryland-College Park - Robert H. Smith School of Business ( email )

University of Maryland-College Park
4332N Van Munching Hall
College Park, MD 20742
United States
301-314-1055 (Phone)

Eric H. Weisbrod

University of Miami - Department of Accounting ( email )

Coral Gables, FL 33146-6531
United States

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