Localized Information Acquisition: What Do Two Billion EDGAR Queries Say About Who Acquires Information from SEC Filings and When?
75 Pages Posted: 2 Nov 2020 Last revised: 20 May 2021
Date Written: September 11, 2020
This study identifies previously undocumented geography-related diversity in investors’ information acquisition behavior around days with earnings announcements. IP geo-localization of the server log of the SEC’s EDGAR (Electronic Data Gathering, Analysis, and Retrieval) system shows that, around these days, local (non-local) investors’ information acquisition behavior is largely anticipatory (reactionary) in nature. Specifically, local investors are found to sharply increase their information acquisition activities on days leading up to earnings announcements, triggered by intertemporal changes in a firm’s earnings uncertainty and varying predictably with exogenous firm relocation. Their non-local counterparts, on the other hand, generally hold off until the day of the earnings announcement, when new filings information becomes available. Greater pre-announcement information acquisition diversity is predicted to elicit stronger stock price reactions on earnings announcement days. Consistent with this prediction, 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: Suggested Citation