Information acquisition and expected returns: evidence from EDGAR search traffic

DOI10.1016/J.JEDC.2022.104384MaRDI QIDQ2168159zbMATH OpenOpenAlexFDO

Authors Frank Weikai Li, Chengzhu Sun

Publication date 31 August 2022

Published in Journal of Economic Dynamics and Control (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.jedc.2022.104384

zbMATH Keywords

endogenous information acquisitionEDGAR searchSEC filings

Mathematics Subject Classification ID

Game theory, economics, finance, and other social and behavioral sciences (91-XX)

Recommendations

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Cites work

• A Noisy Rational Expectations Equilibrium for Multi-Asset Securities Markets
• A rational theory of mutual funds' attention allocation
• Common risk factors in the returns on stocks and bonds
• Information Acquisition in a Noisy Rational Expectations Economy
• Information acquisition and under-diversification
• On the aggregation of information in competitive markets
• Uncertainty, information acquisition, and price swings in asset markets

Cited in

(4)

• Far away from home: investors' underreaction to geographically dispersed information
• Searching for ESG information: heterogeneous preferences and information acquisition
• More is less: publicizing information and market feedback
• Valuable information in early sales proxies: the use of Google search ranks in portfolio optimization

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