Information demand density matters: Evidence from the post-earnings announcement drift

Gang Chu, Michael Dowling, Dehua Shen and Yongjie Zhang

International Review of Financial Analysis, 2023, vol. 86, issue C

Abstract: We show that information demand density (IDD), proxied by abnormal online search volume divided by the magnitude of information asymmetry, has material impacts on price efficiency. First, IDD reduces the post-earnings announcement drift (PEAD) by improving the informational efficiency. Second, IDD is higher for nonlocal investors, which could also reduce the magnitude of PEAD. Third, the impact of IDD is more pronounced for the non-SOEs firms, firms with stronger information environment, higher media coverage, and headquartered in big cities. These results are robust to alternative measurements of IDD and regression windows.

Keywords: Information demand density; Price efficiency; PEAD; Information environment (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (5)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:finana:v:86:y:2023:i:c:s1057521923000042

DOI: 10.1016/j.irfa.2023.102488

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