The wisdom of crowds and the market's response to earnings news: Evidence using the geographic dispersion of investors

被引：5
|
作者：
V. Chen, Jason [1 ]
机构：
[1] Univ Illinois, Chicago, IL 60607 USA
来源：
JOURNAL OF ACCOUNTING & ECONOMICS | 2023年 / 75卷 / 2-3期
关键词：
Information diversity; Geography; Earnings announcements; EDGAR; PRICE DISCOVERY; INFORMATION; RETURNS; VOLUME; ANNOUNCEMENTS; DISSEMINATION; UNDERREACTION; INVESTMENT; EFFICIENCY;
D O I：
10.1016/j.jacceco.2022.101567
中图分类号：
F8 [财政、金融];
学科分类号：
0202 ;
摘要：
The wisdom of crowds suggests that groups with more diversely informed individuals reach more informed decisions because their members are collectively more knowledgeable. I study this idea in the context of the market's response to earnings announcements by examining how information diversity across investors affects the efficiency of the price response to earnings news. I measure investors' information diversity based on their geographic dispersion, which I estimate using the locations of the requests for firms' filings to EDGAR. Greater geographic dispersion is associated with greater trading during the announcement period; this supports the use of geographic dispersion as a measure of information diversity. Consistent with my predictions, the price response to a firm's earnings news is more efficient when the firm's investors have greater information diversity. In further analysis, I find that the initial heightened trading for firms with more diversely informed investors subsides quickly after the announcement period. (c) 2022 Elsevier B.V. All rights reserved.
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页数：27
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