Information acquisition and market liquidity: Evidence from EDGAR search activity

Afshin Haghighi*, Lei Zhang, Barry Oliver, Robert Faff

*Corresponding author for this work

Research output: Contribution to journalArticleResearchpeer-review


We find that information acquisition is associated with an improvement in market liquidity. An empirical analysis of search activity using EDGAR as a proxy for information acquisition shows a theoretical gap in market microstructure models. We also find that EDGAR search is associated with nonsynchronicity, more efficient pricing, and negatively associated with the PIN measure. These results demonstrate that the main finding can be explained through improved incorporation of information into prices and use of sophisticated trading strategies by informed traders.

Original languageEnglish
Article number100865
Pages (from-to)1-25
Number of pages25
JournalGlobal Finance Journal
Publication statusPublished - Aug 2023
Externally publishedYes


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