Ryan D. Israelsen
Kelley School of Business
1309 E Tenth Street
Bloomington, IN 47405-1701
NBER Working Papers and Publications
|March 2017||Demand for Information and Asset Pricing|
with Azi Ben-Rephael, Bruce I. Carlin, Zhi Da: w23274
Previously, academics have used the supply of information that arrives to market (e.g., macroeconomic announcements, earnings reports, or news releases) to study how information affects asset prices and anomalies, and for tests of market efficiency. In this paper, we instead use measures of institutional and retail demand for information. We show that institutional demand for information is associated with increased trading volume and significant price movements. Average returns and betas are higher on days with higher institutional demand for information. The magnitude of these effects is much larger than those associated with the supply of news. However, the impact of demand for information from retail investors, while statistically significant, is quite small in magnitude. We also show ...