Machine invasion: Automation in information acquisition and the cross-section of stock returns

Raunaq S. Pungaliya and Yanbo Wang

Journal of Financial Markets, 2023, vol. 64, issue C

Abstract: We estimate the number of machines “covering” a firm by separating machine Internet protocols (IPs) from human IPs based on the intensity of information retrieval using the EDGAR web log dataset. We investigate the relationship of machine coverage and the cross-section of stock returns and find that stocks in the lowest quintile of machine coverage outperform those in the highest quintile by 6% annually after adjusting for risk. Our results indicate that automation in information processing has a significant impact on the cross-section of stock returns.

Keywords: Automation; SEC filings; Demand for financial information; Big data; Stock returns; Machine-readable disclosure (search for similar items in EconPapers)
JEL-codes: D8 G1 M41 (search for similar items in EconPapers)
Date: 2023
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Persistent link: https://EconPapers.repec.org/RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000775

DOI: 10.1016/j.finmar.2022.100788

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