Information Supply and Demand and Stock Returns

Posted in Sentiment Indicators

 

Is there a useful way to measure the combined effects of information push (published supply) and pull (search demand) on investor attention to specific stocks? In his November 2012 paper entitled “The Impact of Information Supply and Demand on Stock Returns”, Yanbo Wang examines the effect of a shift in firm/stock information supply-demand metrics on stock returns. He measures information supply (demand) based on monthly number of relevant news articles (Google searches) about a company or its stock ticker. He treats supply (demand) as increasing or decreasing for a stock when the number of current-month news articles (Google searches) is above or below the 12-month average, respectively. The supply (demand) is zero if there are no news articles (Google searches) over the last 12 months. He thus considers nine combinations of information supply and demand for each stock. Using monthly news article and Google search counts (either by firm name or stock ticker symbol), prices and firm characteristics for a broad sample of U.S. common stocks during 2004 through 2011, he finds that: (more…)

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