[Finance] 라낙 푼갈리야, 얀보 왕 교수 - Machine invasion: Automation in information acquisition and the cross-section of stock returns
- SKKGSB
- Hit1086
- 2022-11-11
Area | Finance | |
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Faculty | Pungaliya, Raunaq Wang, Yanbo | |
Journal | Journal of Financial Markets | |
Title | Machine invasion: Automation in information acquisition and the cross-section of stock returns |
SKK GSB 라낙 푼갈리야 부원장 겸 교수와 얀보 왕 교수의 논문 "Machine invasion: Automation in information acquisition and the cross-section of stock returns"가 Journal of Financial Markets 에 게재 수락 되었다. 해당 학술지는 증권 거래 및 가격과 관련된 이론적·적용적 차원의 독창적이고 고품질의 연구를 발행한다. 본 논문의 주요 내용은 다음과 같다.
Abstract
We estimate the number of machines “covering” a firm by separating machine Internet protocols (IPs) from human IPs based on the intensity of information retrieval using the EDGAR web log dataset. We investigate the relationship of machine coverage and the cross-section of stock returns and find that stocks in the lowest quintile of machine coverage outperform those in the highest quintile by 6% annually after adjusting for risk. Our results indicate that automation in information processing has a significant impact on the cross-section of stock returns.
Keywords
Automation; SEC filings; Demand for financial information; Big data; Stock returns; Machine-readable disclosure