Information acquisition and market liquidity : Evidence from EDGAR search activity

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review

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Author(s)

  • Afshin Haghighi
  • Lei Zhang
  • Barry Oliver
  • Robert Faff

Detail(s)

Original languageEnglish
Article number100865
Journal / PublicationGlobal Finance Journal
Volume57
Online published28 Jun 2023
Publication statusPublished - Aug 2023

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. © 2023 Elsevier Inc.

Research Area(s)

  • Information acquisition, Market liquidity, EDGAR, Search activity

Citation Format(s)

Information acquisition and market liquidity: Evidence from EDGAR search activity. / Haghighi, Afshin; Zhang, Lei; Oliver, Barry et al.
In: Global Finance Journal, Vol. 57, 100865, 08.2023.

Research output: Journal Publications and ReviewsRGC 21 - Publication in refereed journalpeer-review