Information Acquisition and Expected Returns: Evidence from EDGAR Search Traffic

Weikai Li    Weikai Li, Chengzhu Sun,
11 Aug 2018
Categories: Accounting, Equity Investments, Behavioral Finance

Country or region: Asia Pacific (Overall)

This paper examines expected return information embedded in investors' information acquisition activity. Using a novel dataset containing investors' access of company filings through the SEC's EDGAR system, we reverse engineer investors' expectations of future payoffs and show that the abnormal number of IPs searching for firms' financial statements strongly predicts ......

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