Information acquisition and market liquidity: Evidence from EDGAR search activity

Afshin Haghighi; Lei Zhang; Barry Oliver; Robert Faff

doi:10.1016/j.gfj.2023.100865

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 journal › Article › Research › peer-review

Abstract

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 language	English
Article number	100865
Pages (from-to)	1-25
Number of pages	25
Journal	Global Finance Journal
Volume	57
DOIs	https://doi.org/10.1016/j.gfj.2023.100865
Publication status	Published - Aug 2023
Externally published	Yes

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10.1016/j.gfj.2023.100865

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title = "Information acquisition and market liquidity: Evidence from EDGAR search activity",

abstract = "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.",

author = "Afshin Haghighi and Lei Zhang and Barry Oliver and Robert Faff",

note = "Publisher Copyright: {\textcopyright} 2023 Elsevier Inc.",

year = "2023",

month = aug,

doi = "10.1016/j.gfj.2023.100865",

language = "English",

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AU - Zhang, Lei

AU - Oliver, Barry

AU - Faff, Robert

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N2 - 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.

AB - 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.

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JO - Global Finance Journal

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Information acquisition and market liquidity: Evidence from EDGAR search activity

Abstract

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