Determinants and consequences of information processing delay: Evidence from the Thomson Reuters Institutional Brokers’ Estimate System
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 rel...
Gespeichert in:
| Veröffentlicht in: | Journal of financial economics 2018-02, Vol.127 (2), p.366-388 |
|---|---|
| Hauptverfasser: | , , , |
| Format: | Artikel |
| Sprache: | eng |
| Schlagworte: | |
| Online-Zugang: | Volltext |
| Tags: |
Tag hinzufügen
Keine Tags, Fügen Sie den ersten Tag hinzu!
|
| container_end_page | 388 |
|---|---|
| container_issue | 2 |
| container_start_page | 366 |
| container_title | Journal of financial economics |
| container_volume | 127 |
| creator | Akbas, Ferhat Markov, Stanimir Subasi, Musa Weisbrod, Eric |
| description | 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. |
| doi_str_mv | 10.1016/j.jfineco.2017.11.005 |
| format | Article |
| fullrecord | <record><control><sourceid>proquest_cross</sourceid><recordid>TN_cdi_proquest_journals_2019061589</recordid><sourceformat>XML</sourceformat><sourcesystem>PC</sourcesystem><els_id>S0304405X17302933</els_id><sourcerecordid>2019061589</sourcerecordid><originalsourceid>FETCH-LOGICAL-c402t-c6f8b0d8f921f8c58598d58f0073da935d3ce1ddd46835456284ce0ea93ccac73</originalsourceid><addsrcrecordid>eNqFUMFq3DAUFKWBbpN-QkDQs13Jtmy5l9Im2ySwEEi2kJtwpKdG7lpKJW1gb7nmE_J7-ZI8s7nnXR7MmxneDCHHnJWc8fbbWI7WedChrBjvSs5LxsQHsuCy64uq65qPZMFq1hQNEzefyOeURobTiX5Bnk4hQ5ycH3xOdPCG6uAT_N-C15BosNR5G-I0ZBc8vY8B0eT8X2pgM-y-0-WDMzOV2hgmmu-Aru_ClJB7BVt0TvTCp-zydtYPG_orhn-Ivjw-0yXi6Av0epcyTEfkwA6bBF_e9iH583u5PjkvVpdnFyc_V4VuWJUL3Vp5y4y0fcWt1EKKXhohLeapzdDXwtQauDGmaWUtGtFWstHAAE9aD7qrD8nXvS-GwZgpqzFsI_6WFNbXs5YL2SNL7Fk6hpQiWHUf8du4U5ypuXU1qrfWZ1mnOFfYOup-7HWAER4cRJW0mwsyLoLOygT3jsMrwkWSaQ</addsrcrecordid><sourcetype>Aggregation Database</sourcetype><iscdi>true</iscdi><recordtype>article</recordtype><pqid>2019061589</pqid></control><display><type>article</type><title>Determinants and consequences of information processing delay: Evidence from the Thomson Reuters Institutional Brokers’ Estimate System</title><source>Access via ScienceDirect (Elsevier)</source><creator>Akbas, Ferhat ; Markov, Stanimir ; Subasi, Musa ; Weisbrod, Eric</creator><creatorcontrib>Akbas, Ferhat ; Markov, Stanimir ; Subasi, Musa ; Weisbrod, Eric</creatorcontrib><description>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.</description><identifier>ISSN: 0304-405X</identifier><identifier>EISSN: 1879-2774</identifier><identifier>DOI: 10.1016/j.jfineco.2017.11.005</identifier><language>eng</language><publisher>Amsterdam: Elsevier B.V</publisher><subject>Announcements ; Capital markets ; Discovery ; Earnings ; Earnings forecasting ; information distribution ; Information intermediaries ; Information processing ; limited attention ; price discovery ; Rates of return ; Studies</subject><ispartof>Journal of financial economics, 2018-02, Vol.127 (2), p.366-388</ispartof><rights>2017</rights><rights>Copyright Elsevier Sequoia S.A. Feb 2018</rights><lds50>peer_reviewed</lds50><woscitedreferencessubscribed>false</woscitedreferencessubscribed><citedby>FETCH-LOGICAL-c402t-c6f8b0d8f921f8c58598d58f0073da935d3ce1ddd46835456284ce0ea93ccac73</citedby><cites>FETCH-LOGICAL-c402t-c6f8b0d8f921f8c58598d58f0073da935d3ce1ddd46835456284ce0ea93ccac73</cites></display><links><openurl>$$Topenurl_article</openurl><openurlfulltext>$$Topenurlfull_article</openurlfulltext><thumbnail>$$Tsyndetics_thumb_exl</thumbnail><linktohtml>$$Uhttps://dx.doi.org/10.1016/j.jfineco.2017.11.005$$EHTML$$P50$$Gelsevier$$H</linktohtml><link.rule.ids>314,780,784,3550,27924,27925,45995</link.rule.ids></links><search><creatorcontrib>Akbas, Ferhat</creatorcontrib><creatorcontrib>Markov, Stanimir</creatorcontrib><creatorcontrib>Subasi, Musa</creatorcontrib><creatorcontrib>Weisbrod, Eric</creatorcontrib><title>Determinants and consequences of information processing delay: Evidence from the Thomson Reuters Institutional Brokers’ Estimate System</title><title>Journal of financial economics</title><description>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.</description><subject>Announcements</subject><subject>Capital markets</subject><subject>Discovery</subject><subject>Earnings</subject><subject>Earnings forecasting</subject><subject>information distribution</subject><subject>Information intermediaries</subject><subject>Information processing</subject><subject>limited attention</subject><subject>price discovery</subject><subject>Rates of return</subject><subject>Studies</subject><issn>0304-405X</issn><issn>1879-2774</issn><fulltext>true</fulltext><rsrctype>article</rsrctype><creationdate>2018</creationdate><recordtype>article</recordtype><recordid>eNqFUMFq3DAUFKWBbpN-QkDQs13Jtmy5l9Im2ySwEEi2kJtwpKdG7lpKJW1gb7nmE_J7-ZI8s7nnXR7MmxneDCHHnJWc8fbbWI7WedChrBjvSs5LxsQHsuCy64uq65qPZMFq1hQNEzefyOeURobTiX5Bnk4hQ5ycH3xOdPCG6uAT_N-C15BosNR5G-I0ZBc8vY8B0eT8X2pgM-y-0-WDMzOV2hgmmu-Aru_ClJB7BVt0TvTCp-zydtYPG_orhn-Ivjw-0yXi6Av0epcyTEfkwA6bBF_e9iH583u5PjkvVpdnFyc_V4VuWJUL3Vp5y4y0fcWt1EKKXhohLeapzdDXwtQauDGmaWUtGtFWstHAAE9aD7qrD8nXvS-GwZgpqzFsI_6WFNbXs5YL2SNL7Fk6hpQiWHUf8du4U5ypuXU1qrfWZ1mnOFfYOup-7HWAER4cRJW0mwsyLoLOygT3jsMrwkWSaQ</recordid><startdate>20180201</startdate><enddate>20180201</enddate><creator>Akbas, Ferhat</creator><creator>Markov, Stanimir</creator><creator>Subasi, Musa</creator><creator>Weisbrod, Eric</creator><general>Elsevier B.V</general><general>Elsevier Sequoia S.A</general><scope>AAYXX</scope><scope>CITATION</scope><scope>8BJ</scope><scope>FQK</scope><scope>JBE</scope></search><sort><creationdate>20180201</creationdate><title>Determinants and consequences of information processing delay: Evidence from the Thomson Reuters Institutional Brokers’ Estimate System</title><author>Akbas, Ferhat ; Markov, Stanimir ; Subasi, Musa ; Weisbrod, Eric</author></sort><facets><frbrtype>5</frbrtype><frbrgroupid>cdi_FETCH-LOGICAL-c402t-c6f8b0d8f921f8c58598d58f0073da935d3ce1ddd46835456284ce0ea93ccac73</frbrgroupid><rsrctype>articles</rsrctype><prefilter>articles</prefilter><language>eng</language><creationdate>2018</creationdate><topic>Announcements</topic><topic>Capital markets</topic><topic>Discovery</topic><topic>Earnings</topic><topic>Earnings forecasting</topic><topic>information distribution</topic><topic>Information intermediaries</topic><topic>Information processing</topic><topic>limited attention</topic><topic>price discovery</topic><topic>Rates of return</topic><topic>Studies</topic><toplevel>peer_reviewed</toplevel><toplevel>online_resources</toplevel><creatorcontrib>Akbas, Ferhat</creatorcontrib><creatorcontrib>Markov, Stanimir</creatorcontrib><creatorcontrib>Subasi, Musa</creatorcontrib><creatorcontrib>Weisbrod, Eric</creatorcontrib><collection>CrossRef</collection><collection>International Bibliography of the Social Sciences (IBSS)</collection><collection>International Bibliography of the Social Sciences</collection><collection>International Bibliography of the Social Sciences</collection><jtitle>Journal of financial economics</jtitle></facets><delivery><delcategory>Remote Search Resource</delcategory><fulltext>fulltext</fulltext></delivery><addata><au>Akbas, Ferhat</au><au>Markov, Stanimir</au><au>Subasi, Musa</au><au>Weisbrod, Eric</au><format>journal</format><genre>article</genre><ristype>JOUR</ristype><atitle>Determinants and consequences of information processing delay: Evidence from the Thomson Reuters Institutional Brokers’ Estimate System</atitle><jtitle>Journal of financial economics</jtitle><date>2018-02-01</date><risdate>2018</risdate><volume>127</volume><issue>2</issue><spage>366</spage><epage>388</epage><pages>366-388</pages><issn>0304-405X</issn><eissn>1879-2774</eissn><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.</abstract><cop>Amsterdam</cop><pub>Elsevier B.V</pub><doi>10.1016/j.jfineco.2017.11.005</doi><tpages>23</tpages></addata></record> |
| fulltext | fulltext |
| identifier | ISSN: 0304-405X |
| ispartof | Journal of financial economics, 2018-02, Vol.127 (2), p.366-388 |
| issn | 0304-405X 1879-2774 |
| language | eng |
| recordid | cdi_proquest_journals_2019061589 |
| source | Access via ScienceDirect (Elsevier) |
| subjects | Announcements Capital markets Discovery Earnings Earnings forecasting information distribution Information intermediaries Information processing limited attention price discovery Rates of return Studies |
| title | Determinants and consequences of information processing delay: Evidence from the Thomson Reuters Institutional Brokers’ Estimate System |
| url | https://sfx.bib-bvb.de/sfx_tum?ctx_ver=Z39.88-2004&ctx_enc=info:ofi/enc:UTF-8&ctx_tim=2024-12-28T09%3A04%3A24IST&url_ver=Z39.88-2004&url_ctx_fmt=infofi/fmt:kev:mtx:ctx&rfr_id=info:sid/primo.exlibrisgroup.com:primo3-Article-proquest_cross&rft_val_fmt=info:ofi/fmt:kev:mtx:journal&rft.genre=article&rft.atitle=Determinants%20and%20consequences%20of%20information%20processing%20delay:%20Evidence%20from%20the%20Thomson%20Reuters%20Institutional%20Brokers%E2%80%99%20Estimate%20System&rft.jtitle=Journal%20of%20financial%20economics&rft.au=Akbas,%20Ferhat&rft.date=2018-02-01&rft.volume=127&rft.issue=2&rft.spage=366&rft.epage=388&rft.pages=366-388&rft.issn=0304-405X&rft.eissn=1879-2774&rft_id=info:doi/10.1016/j.jfineco.2017.11.005&rft_dat=%3Cproquest_cross%3E2019061589%3C/proquest_cross%3E%3Curl%3E%3C/url%3E&disable_directlink=true&sfx.directlink=off&sfx.report_link=0&rft_id=info:oai/&rft_pqid=2019061589&rft_id=info:pmid/&rft_els_id=S0304405X17302933&rfr_iscdi=true |