Market ambiguity and individual investor information demand

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.     

Insider trading around auto recalls: Does investor attention matter?

Review of Quantitative Finance and Accounting - Using a comprehensive sample of customer complaints filed with the National Highway Traffic Safety Administration, we examine the...     

Trading concentration and industry-specific information: an analysis of auto complaints

Review of Quantitative Finance and Accounting - We investigate whether sophisticated investors’ trading concentration in the auto industry is associated with their use of auto complaint data....