The COVID-19 pandemic: How important is face-to-face interaction for information dissemination?

Daniel Cahill, Ho, Choy Yeing (Chloe) and Joey W. Yang

Global Finance Journal, 2022, vol. 54, issue C

Abstract: Does face-to-face interaction still facilitate information transfer despite proliferating communication technologies? We use the COVID-19 collapse in such interactions to examine their influence on information flow in the stock market around earnings announcements. Using daily, county-level abnormal mobility of U.S. residents to proxy for face-to-face interaction, we find that firms located in counties with lower abnormal mobility experience a weaker immediate price reaction to earnings announcements and a larger post-announcement drift. Our findings suggest that lower face-to-face interactions dampen price discovery in financial markets, and that investor attention is a potential mechanism of this effect.

Keywords: Earnings announcements; Information dissemination; Abnormal mobility; Face-to-face interaction; Investor attention (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:eee:glofin:v:54:y:2022:i:c:s1044028321000727

DOI: 10.1016/j.gfj.2021.100674

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