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인터넷 검색량을 이용한 이익공시에서의 투자자 정보수요 연구
구본하(Bonha Koo),김류미(Ryumi Kim) 한국인터넷전자상거래학회 2020 인터넷전자상거래연구 Vol.20 No.1
Recent studies use internet search volume as a measure of investor information demand and attention. We examine that factors that influence investor information demand around earnings announcements which are representative events for investors to need to know regarding profits of firms. We show investor information demand captured by abnormal internet search frequency significantly increases around earnings announcements. We also find that firms with higher unexpected earnings, more individual turnover, and smaller market capitalization have more investor information demand. To reveal market reaction to earnings surprises and search intensity, the cumulative abnormal returns are calculated for the earnings announcement date and the post-earnings announcement. Our evidence indicates that firms with more investor information demand and attention have stronger announcement-day reactions, but only earnings surprises have positive relation with cumulative abnormal returns for post-earnings periods.