Demand for Information and Stock Returns: Evidence from EDGAR

60 Pages Posted: 22 Mar 2019 Last revised: 5 Aug 2021

See all articles by Pingle Wang

Pingle Wang

University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance

Date Written: November 13, 2019

Abstract

This paper empirically shows that information acquisition affects stock returns by reducing firm-level information asymmetry. When firms disclose material information known by insiders, information acquisition reduces asymmetric information and lowers stock returns. The effect is stronger for both unexpectedly good and bad news than anticipated news and when investors have a lower cost of information processing. Using the Northeast Blackout of 2003 as a natural experiment, I explore an exogenous shock in information acquisition and show causally that information acquisition reduces 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: https://ssrn.com/abstract=3348513 or http://dx.doi.org/10.2139/ssrn.3348513

Pingle Wang (Contact Author)

University of Texas at Dallas, Naveen Jindal School of Management, Department of Finance ( email )

800 West Campbell
Richarson, TX 75080
United States

HOME PAGE: http://www.wangpingle.com

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