Demand for Information and Stock Returns: Evidence from EDGAR

62 Pages Posted: 22 Mar 2019 Last revised: 31 Mar 2020

See all articles by Pingle Wang

Pingle Wang

University of Rochester, Simon Business School

Date Written: November 13, 2019


This paper empirically shows that information acquisition affects stock returns by reducing firm-level information asymmetry. When firms disclose material information that was known by insiders, demand for information reduces the asymmetric information faced by uninformed investors and lowers the stock returns persistently. The effect is much stronger for both unexpectedly good and bad news than for anticipated news, consistent with the information asymmetry reduction channel. Moreover, demand for information has stronger effects when investors are geographically close to firm headquarters or have prior experience in collecting firm-specific information, suggesting that the cost of information processing affects information asymmetry. Furthermore, I explore an exogenous variation in information acquisition using the Northeast Blackout of 2003 as a natural experiment, and identify its causal effect on information asymmetry in a difference-in-differences setting.

Keywords: Information, Investor Attention, Information Asymmetry, Asset Prices, EDGAR

JEL Classification: G12

Suggested Citation

Wang, Pingle, Demand for Information and Stock Returns: Evidence from EDGAR (November 13, 2019). Available at SSRN: or

Pingle Wang (Contact Author)

University of Rochester, Simon Business School ( email )

Rochester, NY
United States

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