The Impact of Automated Information Acquisition on the Stock Market

47 Pages Posted: 28 Sep 2020

See all articles by Ivika Jäger

Ivika Jäger

Aalto University School of Business

Date Written: August 11, 2020


Does collecting regulatory financial information with the help of automated computer algorithms (robots) affect the stock market? Using the EDGAR Server Log data set, I construct firm-level measures of information acquisition by robots and non-robots and show that robots are extensively used for information acquisition when new information becomes available. The SEC's mandate
regarding interactive data leads to a notable increase in information demand, consistent with decreased information acquisition costs for standardised regulatory financial information in XBRL-format. A higher relative importance of robots acquiring information about a firm combined with the XBRL adoption is associated with a consequent increase in trading volume, smaller bid-ask spreads, lower volatility, positive cumulative abnormal return and increased volume coefficient of variation. The findings are consistent with the idea that automation and standardisation benefits informed investors disproportionately more than uninformed traders.

Keywords: information acquisition, automation, XBRL, EDGAR

JEL Classification: G14

Suggested Citation

Jäger, Ivika, The Impact of Automated Information Acquisition on the Stock Market (August 11, 2020). Available at SSRN: or

Ivika Jäger (Contact Author)

Aalto University School of Business ( email )


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