Market ambiguity and individual investor information demand |
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Authors: | Rajib Hasan Abdullah Kumas Joyce van der Laan Smith |
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Institution: | 1. University of Houston-Clear Lake, United States;2. Robins School of Business, University of Richmond, United States |
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Abstract: | We examine whether ambiguity in the market leads to an increase in information demand by individual investors. Drawing on the asset-pricing model proposed by Mele and Sangiorgi (2015), which incorporates market ambiguity, we measure individual information demand using daily Google searches and measure market ambiguity using a metric based on the market trades of institutional investors. We find that individual investors increase their information demand during periods of greater market ambiguity. We also provide evidence that information demand from individual investors spikes around earnings announcement days primarily when market uncertainty is driven by net-selling activity. Overall, these results suggest that the disagreement among institutional investors either represents uncertainty or contributes to the uncertainty related to a stock, leading to increased demand for information from individual investors. |
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Keywords: | Market ambiguity uncertainty Google search index and institutional investors G40 M20 M40 |
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