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Machine invasion: Automation in information acquisition and the cross-section of stock returns

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  • Pungaliya, Raunaq S.
  • Wang, Yanbo

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.

Suggested Citation

  • Pungaliya, Raunaq S. & Wang, Yanbo, 2023. "Machine invasion: Automation in information acquisition and the cross-section of stock returns," Journal of Financial Markets, Elsevier, vol. 64(C).
    • Handle: RePEc:eee:finmar:v:64:y:2023:i:c:s1386418122000775
    DOI: 10.1016/j.finmar.2022.100788
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    More about this item

    Keywords

    Automation; SEC filings; Demand for financial information; Big data; Stock returns; Machine-readable disclosure;
    All these keywords.

    JEL classification:

    • M41 - Business Administration and Business Economics; Marketing; Accounting; Personnel Economics - - Accounting - - - Accounting
    • G1 - Financial Economics - - General Financial Markets
    • D8 - Microeconomics - - Information, Knowledge, and Uncertainty

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