Search-Based Peer Groups and Commonality in Liquidity*

Paul Brockman, Dennis Y Chung and Neal M Snow

Review of Finance, 2023, vol. 27, issue 1, 33-77

Abstract: We examine search-based peer (SBP) groups proposed by Lee, Ma, and Wang (2015) and their relationship with commonality in liquidity. Our results confirm that SBP affiliation is a significant determinant of commonality in liquidity and, unlike market- and industry-commonality, SBP-commonality has been increasing over the past 15 years. We separate retail from institutional investor queries by tracing the IP locations of Electronic Data Gathering, Analysis, and Retrieval (EDGAR) searches. Our results show that retail investors are responsible for roughly 85% of the EDGAR searches that generate SBP groups. Overall, our study provides new evidence of a significant demand-side commonality associated with SBP affiliations.

Keywords: Peer firm; EDGAR; Liquidity (search for similar items in EconPapers)
JEL-codes: D83 G10 G11 (search for similar items in EconPapers)
Date: 2023
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Citations: View citations in EconPapers (1)

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