It is generally accepted that the association between leading indicators and stock prices is evidence that the market efficiently prices the contribution of the leading indicators to future earnings. In this study, I examine whether investors incorporate the implications of one leading indicator, order backlog, in an efficient manner when determining stock prices and earnings forecasts. Furthermore, I investigate whether there is a difference between how the sophisticated and unsophisticated investor values order backlog given the fact that consensus analysts’ forecasts correctly incorporate the information in backlog for future earnings. I find that the market is more efficient in pricing the implications of order backlog with regards to firms with a high percentage of sophisticated investors compared to those with a low percentage of sophisticated investors. Moreover my results imply that unsophisticated investors overly-fixate on order backlog information.