Information acquisition and expected returns: Evidence from EDGAR search traffic

• Main Authors: LI, Frank Weikai, SUN, Chengzhu
• Format: text
• Language: English
• Published: Institutional Knowledge at Singapore Management University 2022
• Subjects: Information Acquisition; EDGAR Search; Return Predictability; Market Efficiency; Finance and Financial Management; Portfolio and Security Analysis
• Online Access: https://ink.library.smu.edu.sg/lkcsb_research/5322; https://ink.library.smu.edu.sg/context/lkcsb_research/article/6321/viewcontent/SSRN_id3031977__1_.pdf
• Institution: Singapore Management University

This paper examines expected return information embedded in investors' information acquisition activity. Using a novel dataset containing investors' access of company filings through SEC's EDGAR system, we reverse engineer their expectations over future payoffs and show that the abnor...