Investors’ Demand for Sell-Side Research: SEC Filings, Media Coverage, and Market Factors

• In Event: Information Acquisition and Information Asymmetry

Abstract

Using a novel dataset of web traffic for a popular website of analyst report information, we perform a comprehensive analysis, along three dimensions, examining when investors demand firm-specific analyst information. First, we highlight that the majority of firm-specific requests for analyst information are concentrated within a few weeks of the year and in terms of all SEC mandated disclosures, demand is highest in weeks with earnings announcements, followed by Form 10-K and Form 8-K filings, respectively. Second, management guidance, absolute abnormal returns, trading volume, and media coverage, all positively relate to investors’ demand, and negative abnormal returns appear to lead investors’ demand. Third, regarding the type of analyst information provided, target price revisions are most related to investor demand, followed by recommendations, and then by earnings forecast revisions.

Authors

• Alastair Lawrence, University of California, Berkeley

• Estelle Sun, University of California, Berkeley

• James Ryans, University of California, Berkeley