The Geographic Dispersion of Google Search and the Market Reaction to Earnings Announcements

Chi, Sabrina; Shanthikumar, Devin M.

doi:10.2139/ssrn.2324391

Cited by 8 publications

(2 citation statements)

References 31 publications

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“…First, this paper answers the call to study the role of the real-time interaction between market participants on the stock forum to understand the nature of posts that are created and read on the stock forum around corporate events (Miller and Skinner, 2015). Our evidence complements the recent literature examining how technology aids investors in gathering information, such as via Google search (Da et al , 2011; Chi and Shanthikumar, 2014), and highlights that technology enables investors to play an important dissemination role. Second, this paper contributes to the literature studying the impact of social media on market reaction to earnings news.…”

Section: Introductionsupporting

confidence: 77%

Online investment forum and the market response around earnings announcement in the Chinese stock markets

Hao

Dong

2019

IJAIM

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Purpose This paper aims to study the following two questions. Do earnings announcements stimulate investors to participate in online discussions? Does online investment forum participation affect the market’s reaction to earnings news? Design/methodology/approach The authors collect all the online posts, which were related to the internet service companies and posted in a Chinese financial forum, guba.eastmoney.com (Guba), during the period between June 30, 2008 and December 31, 2015. Multiple linear regression analysis is used to test the questions. Findings The study finds that the earnings announcements induce online discussion. In addition, before the earnings announcement, online posting activity does not affect earnings response coefficient but can weaken the positive association between the magnitude of the upcoming earnings surprise and abnormal trading volume. In contrast, after the earnings announcement, online forum participation can facilitate the incorporation of earnings surprise into the price. Originality/value This study contributes to the literature studying the impact of social media on market reaction to earnings news by providing evidence that the price discovery process can be affected by the online investment forum. Several policy implications are also provided.

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Section: Introductionsupporting

confidence: 77%

Online investment forum and the market response around earnings announcement in the Chinese stock markets

Hao

Dong

2019

IJAIM

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“…To gauge the economic significance, we note that the estimated coefficient for DD Law indicates a drop in search volume of about 3.5% when 26 While the SVI data do not distinguish search activity by geographic location, our conjecture is reasonable based on recent evidence of state-level Google search activity. Specifically, Chi and Shanthikumar [2014] document that firms' Google search activity is disproportionately concentrated in their headquarter states, suggesting that individuals located near firms search for local firm information at greater rates than nonlocal individuals. 27 We also replicate our regression results based on robust standard errors clustered by firm, date, state, and event date (see table A2 of the online appendix).…”

Section: Effect Of Distracted Driving Laws On Google Search Volumementioning

confidence: 99%

Mobile Communication and Local Information Flow: Evidence from Distracted Driving Laws

Brown

Stice

White

2015

J of Accounting Research

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We examine the influence of mobile communication on local information flow and local investor activity using the enforcement of state-wide distracted driving restrictions, which are exogenous events that constrain mobile communication while driving. By restricting mobile communication across a potentially sizable set of local individuals, these restrictions could inhibit local information flow and in turn, the market activity of stocks headquartered in enforcement states. We first document a decline in Google search activity for local stocks when restrictions take effect, suggesting that constraints on mobile communication significantly affect individuals' information search activity. We further find significant declines in local trading volume when restrictions are enforced. This drop in liquidity is 1) attenuated when laws provide substitutive means of mobile communication and 2) magnified when locals have long car commutes and when their daily commutes overlap with regular exchange hours. Moreover, trading volume suffers the most for local stocks with lower institutional ownership, less analyst coverage, and more intangible information. Additional analyses show lower intraday volume during local commute times when mobile connectivity is constrained. Together, our results suggest that local information and local investors matter in stock markets and that mobile communication is an important mechanism through which these elements operate to affect liquidity and price discovery. This article is protected by copyright. All rights reserved.3 mutual fund managers tend to overweight stocks from their home states and that these stockholdings do not outperform other holdings. 8 Other studies also provide evidence in support of the information-based hypothesis. For instance, Pirinsky and Wang [2006] find evidence of strong return comovement among stocks headquartered in the same geographical This article is protected by copyright. All rights reserved. 12 Recent research has begun to examine the mechanisms through which local information diffuses. Prior studies document that social interaction and word-of-mouth communication among individuals play important roles in the diffusion of local stock information and in individuals' decision to participate in stock markets (Hong, Kubik, and Stein [2004], Ivković and Weisbenner [2007], Shive [2010]). Local media sources and local equity analysts also serve as conduits for the flow of local stock information. For instance, Engelberg and Parsons [2011] find that local newspaper coverage of earnings announcements stimulates local trading. Using exogenous newspaper strikes in several countries, Peress [2014] finds lower share turnover and higher stock return volatility and dispersion in the country's stock market during strike days. 9 Regarding equity analysts, Malloy [2005] finds that local analysts provide more accurate earnings forecasts and stock recommendations for local firms, while Bae, Stulz, and Tan [2008] find that local domestic analysts make more precise forecasts for ...

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Local investor attention and post-earnings announcement drift

Wang

Choi

Siraj

2017

Rev Quant Finan Acc

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The Geographic Dispersion of Google Search and the Market Reaction to Earnings Announcements

Cited by 8 publications

References 31 publications

Online investment forum and the market response around earnings announcement in the Chinese stock markets

Online investment forum and the market response around earnings announcement in the Chinese stock markets

Mobile Communication and Local Information Flow: Evidence from Distracted Driving Laws

Local investor attention and post-earnings announcement drift

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