Investor information gathering and the resolution of uncertainty

Jed J. Neilson

Journal of Accounting and Economics, 2022, vol. 74, issue 1

Abstract: Information gathering is an instinctive response to uncertainty, but such efforts may not fully resolve the uncertainty that prompted them. This implies that proxies for investor information gathering may endogenously reflect investor uncertainty, not only before but also after information collection. I find evidence consistent with this pattern using data on public internet access of SEC filings around firms’ earnings announcements. My findings suggest that proxies for investor search and information gathering can capture both information demand and unresolved uncertainty, which has implications for the interpretation of common empirical tests involving such proxies. Controlling for the uncertainty that motivates information gathering is a potential approach for addressing this endogeneity issue. However, my findings indicate that firm-specific information gathering reflects unique information about firm-level investor uncertainty not captured by common controls for uncertainty. Analyses that exploit plausibly exogenous variation in information gathering suggest a promising direction for future research.

Keywords: Information acquisition; Investor attention; Search; Uncertainty; Earnings announcements; EDGAR (search for similar items in EconPapers)
JEL-codes: D80 D83 D89 G12 G14 M40 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (3)

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S0165410122000362
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:jaecon:v:74:y:2022:i:1:s0165410122000362

DOI: 10.1016/j.jacceco.2022.101513

Access Statistics for this article

Journal of Accounting and Economics is currently edited by J. L. Zimmerman, S. P. Kothari, T. Z. Lys and R. L. Watts

More articles in Journal of Accounting and Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().