Online Information Acquisition and Investor Trading

43 Pages Posted: 18 Sep 2011 Last revised: 9 Dec 2012

See all articles by Lei Gao

Lei Gao

Iowa State University

Oliver Zhen Li

National University of Singapore (NUS)

P. Eric Yeung

Cornell University - Samuel Curtis Johnson Graduate School of Management

Date Written: December 1, 2012

Abstract

We examine the empirical associations between online information acquisition and several aspects of investors’ trading activities. We find that trading volume and buy-sell imbalance between small and large traders are positively associated with abnormal ticker search on Google. These positive trading-search associations are more pronounced for firms with large accruals, during earnings announcement periods, and in more recent years. Our evidence is consistent with information acquisition triggers investor disagreement.

Keywords: Information Acquisition, Trading Volume, Buy-Sell Imbalance, Disagreement, Ticker Search

JEL Classification: G14, M41

Suggested Citation

Gao, Lei and Li, Oliver Zhen and Yeung, P. Eric, Online Information Acquisition and Investor Trading (December 1, 2012). Available at SSRN: https://ssrn.com/abstract=1929402 or http://dx.doi.org/10.2139/ssrn.1929402

Lei Gao

Iowa State University ( email )

613 Wallace Road
Ames, IA 50011-2063
United States

Oliver Zhen Li

National University of Singapore (NUS) ( email )

Bukit Timah Road 469 G
Singapore, 117591
Singapore

P. Eric Yeung (Contact Author)

Cornell University - Samuel Curtis Johnson Graduate School of Management ( email )

Ithaca, NY 14853
United States

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