Modern information technologies have fundamentally changed how information is disseminated in Önancial markets. Using the staggered implementation of the EDGAR system in 1993ñ1996 as a shock to information dissemination technologies, we Önd evidence that internet dissemination of corporate information increases information production by corporate outsiders. SpeciÖcally, trades by individual investors in a stock become more informative about future stock returns after the stock becomes subject to mandatory Öling on EDGAR. This e§ect is driven primarily by investors who have access to the internet. The amount and accuracy of information produced by sell-side analysts increase following the EDGAR implementation. Market responses to analyst revisions also become stronger after a Örm becomes an EDGAR Öler. Furthermore, stock pricing e¢ ciency improves after the EDGAR implementation. Overall, these results suggest that greater and broader information dissemination facilitated by modern information technologies improves information production and stock pricing e¢ ciency.
Fonte: “Informing the Market: The Effect of Modern Information Technologies on Information Production,” with Meng Gao, 2020, Review of Financial Studies 33, 1367–1411
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