Cahill Daniel, Ho Choy Yeing Chloe, Yang Joey W
Department of Accounting and Finance, University of Western Australia Business School, 35 Stirling Hwy, Crawley, WA 6009, Australia.
Glob Financ J. 2022 Nov;54:100674. doi: 10.1016/j.gfj.2021.100674. Epub 2021 Sep 25.
Does face-to-face interaction still facilitate information transfer despite proliferating communication technologies? We use the COVID-19 collapse in such interactions to examine their influence on information flow in the stock market around earnings announcements. Using daily, county-level abnormal mobility of U.S. residents to proxy for face-to-face interaction, we find that firms located in counties with lower abnormal mobility experience a weaker immediate price reaction to earnings announcements and a larger post-announcement drift. Our findings suggest that lower face-to-face interactions dampen price discovery in financial markets, and that investor attention is a potential mechanism of this effect.
尽管通信技术不断发展,面对面互动是否仍能促进信息传递?我们利用新冠疫情期间此类互动的减少,来检验它们对盈利公告前后股票市场信息流的影响。我们用美国居民县级每日异常流动情况来代表面对面互动,发现位于异常流动较低县的公司,对盈利公告的即时价格反应较弱,公告后漂移较大。我们的研究结果表明,较低的面对面互动会抑制金融市场的价格发现,投资者注意力是这种影响的一个潜在机制。