Localized Information Acquisition

72 Pages Posted: 2 Nov 2020 Last revised: 23 Sep 2022

See all articles by Stephan Hollander

Stephan Hollander

Tilburg University - Tilburg School of Economics and Management

Robin Litjens

Tilburg University - CentER and Department of Accountancy

Date Written: September 23, 2022

Abstract

This study identifies previously undocumented geography-related diversity in investors’ information acquisition behavior ahead of days with scheduled earnings announcements. IP geo-localization of the SEC’s EDGAR server log reveals that local investors, on average, scale up their information acquisition prior to the announcement, prompted by changes in pre-announcement uncertainty and varying predictably with exogenous firm relocation. Contrariwise, their non-local counterparts tend to hold off until the day of the earnings announcement, when new filings information becomes available. Further analysis implies that this divergent behavior is most consistent with a heterogeneous information-acquisition cost explanation. Lastly, in a cross-sectional asset pricing application, we find that the earnings announcement-day premium is higher when pre-announcement information acquisition by local investors is higher, controlling for time-variant and -invariant firm characteristics.

Keywords: information acquisition, geography, earnings days, asset pricing

JEL Classification: G10, G14, G40

Suggested Citation

Hollander, Stephan and Litjens, Robin, Localized Information Acquisition (September 23, 2022). Available at SSRN: https://ssrn.com/abstract=3691111 or http://dx.doi.org/10.2139/ssrn.3691111

Stephan Hollander (Contact Author)

Tilburg University - Tilburg School of Economics and Management ( email )

P.O. Box 90153
Tilburg, DC Noord-Brabant 5000 LE
Netherlands
+31 13 466 8288 (Phone)
+31 13 466 8001 (Fax)

HOME PAGE: http://www.uvt.nl/people/s.hollander

Robin Litjens

Tilburg University - CentER and Department of Accountancy ( email )

P.O. Box 90153
Tilburg, 5000 LE
Netherlands

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