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The Role of Data Providers as Information Intermediaries

  • Nic Schaub

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.

Corresponding author
*Schaub (corresponding author),, University of St. Gallen.
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I am indebted to David Oesch for his support. I am also grateful to Martin Brown, Janet Gao, Tobin Hanspal, Jarrad Harford (the editor), Alexander Hillert, Harrison Hong, Moritz Osnabruegge, Joel Peress, K. Ramesh, Otto Randl, Stefan Ruenzi, Markus Schmid, Eric So (the referee), Michael Ungeheuer, Felix von Meyerinck, Rex Wang, conference participants at the 2014 European Finance Association annual meeting in Lugano, the 2016 German Finance Association annual meeting in Bonn, the 2017 Swiss Society for Financial Market Research annual conference in Zurich, and seminar participants at the University of Mannheim, Rotterdam School of Management, Bocconi University, and the University of St. Gallen for helpful comments. Part of this research was undertaken while I was a visiting researcher at UCLA Anderson School of Management. Financial support from the Swiss National Science Foundation (SNF) is gratefully acknowledged.

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