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...

This paper investigates the problem of time stamp errors in the IBES database, the most important data provider of analyst recommendations and forecasts currently. We compare IBES to alternative data sources and show that IBES announcement dates of both recommendations and forecasts are...

We study nine equity markets between 1900 and 1925 to provide an out-of-sample test of three major asset pricing anomalies, momentum, long-term reversal, and size, in a period when anomalies were not yet known. We find strong evidence of momentum in almost every market. We find no evidence of...

We study equity markets between 1900 and 1925 to provide a pure out-of-sample test of three major asset pricing anomalies: momentum, long-term reversal, and size. We find strong evidence of momentum in almost every market. Momentum is a local phenomenon, as the returns of momentum long-short...