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Investor Search and Asset Prices

Author

Listed:
  • Hardy Hulley

    (University of Technology Sydney, Ultimo NSW 2007, Australia)

  • Leo Liu

    (UTS Business School, University of Technology Sydney, Level 7 of Building 8, Platform 14/28 Ultimo Rd, Ultimo NSW 2007, Australia)

  • Kenny Phua

    (University of Technology Sydney, Ultimo NSW 2007, Australia)

Abstract

Firms can have fundamental similarities and relatedness such as operating in the same geographic area and industries, being customers or suppliers. Understanding these connections has implications for cross-asset return predictability because information can flow through these linkages sluggishly. We introduce a novel peer momentum by linking firms that are co-searched by investors on the SEC EDGAR server. A trading strategy based on this peer momentum generates an annualized return of 13%, and it remains robust when controlling for other peer momentum, known asset pricing anomalies, and firm characteristics. Moreover, it outperforms the shared-analyst peer momentum identified by Ali and Hirshleifer (2020).

Suggested Citation

  • Hardy Hulley & Leo Liu & Kenny Phua, 2024. "Investor Search and Asset Prices," Quarterly Journal of Finance (QJF), World Scientific Publishing Co. Pte. Ltd., vol. 14(04), pages 1-33, December.
    • Handle: RePEc:wsi:qjfxxx:v:14:y:2024:i:04:n:s2010139224500149
    DOI: 10.1142/S2010139224500149
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    More about this item

    Keywords

    EDGAR; return predictability; momentum strategy; network theory;
    All these keywords.

    JEL classification:

    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G17 - Financial Economics - - General Financial Markets - - - Financial Forecasting and Simulation
    • L22 - Industrial Organization - - Firm Objectives, Organization, and Behavior - - - Firm Organization and Market Structure

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