The Role of Data Providers as Information Intermediaries
Journal
Journal of Financial and Quantitative Analysis
ISSN
0022-1090
ISSN-Digital
1756-6916
Type
journal article
Date Issued
2018-08
Author(s)
Abstract
This study investigates whether financial data providers serve as information intermediaries in capital markets. To this end, I examine whether the timeliness of earnings information disseminated by First Call (Thomson Reuters) affects the market's reaction to earnings announcements. I document that the immediate price and volume response is weaker and the post-earnings announcement drift stronger for earnings news disseminated with a delay by First Call. To mitigate endogeneity concerns, I study the market reaction on the day of the delayed dissemination and show that a significant part of the stronger drift is clustered around this day.
Language
English
Keywords
information intermediaries
data providers
earnings announcements
capital market reaction
post-earnings announcement drift
HSG Classification
contribution to scientific community
Refereed
Yes
Publisher
Cambridge University Press
Publisher place
New York, NY [u.a.]
Volume
53
Number
4
Start page
1805
End page
1838
Division(s)
Contact Email Address
nic.schaub@unisg.ch
Eprints ID
251138
File(s)![Thumbnail Image]()
Name
DataProviders_InclInternetAppendix.pdf
Size
4.27 MB
Format
Adobe PDF
Checksum (MD5)
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