Investor Search and Asset Prices

Hardy Hulley (), Leo Liu and Kenny Phua ()
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Hardy Hulley: University of Technology Sydney, Ultimo NSW 2007, Australia
Leo Liu: UTS Business School, University of Technology Sydney, Level 7 of Building 8, Platform 14/28 Ultimo Rd, Ultimo NSW 2007, Australia
Kenny Phua: University of Technology Sydney, Ultimo NSW 2007, Australia

Quarterly Journal of Finance (QJF), 2024, vol. 14, issue 04, 1-33

Abstract: Firms can have fundamental similarities and relatedness such as operating in the same geographic area and industries, being customers or suppliers. Understanding these connections has implications for cross-asset return predictability because information can flow through these linkages sluggishly. We introduce a novel peer momentum by linking firms that are co-searched by investors on the SEC EDGAR server. A trading strategy based on this peer momentum generates an annualized return of 13%, and it remains robust when controlling for other peer momentum, known asset pricing anomalies, and firm characteristics. Moreover, it outperforms the shared-analyst peer momentum identified by Ali and Hirshleifer (2020).

Keywords: EDGAR; return predictability; momentum strategy; network theory (search for similar items in EconPapers)
JEL-codes: G10 G12 G14 G17 L22 (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1142/S2010139224500149

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