Search-Based Peer Groups and Commonality in Liquidity | Zendy

Paul Brockman | Zendy; Dennis Y. Chung | Zendy; Neal M. Snow | Zendy

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Search-Based Peer Groups and Commonality in Liquidity

Author(s) -

Paul Brockman,

Dennis Y. Chung,

Neal M. Snow

Publication year - 2021

Publication title -

review of finance

Language(s) - English

Resource type - Journals

SCImago Journal Rank - 4.933

H-Index - 61

eISSN - 1875-824X

pISSN - 1572-3097

DOI - 10.1093/rof/rfab033

Subject(s) - market liquidity , business , tracing , advertising , financial economics , economics , monetary economics , finance , computer science , operating system

We examine search-based peer (SBP) groups proposed by Lee, Ma, and Wang (2015) and their relationship with commonality in liquidity. Our results confirm that SBP affiliation is a significant determinant of commonality in liquidity and, unlike market- and industry-commonality, SBP-commonality has been increasing over the past 15 years. We separate retail from institutional investor queries by tracing the IP locations of Electronic Data Gathering, Analysis, and Retrieval (EDGAR) searches. Our results show that retail investors are responsible for roughly 85% of the EDGAR searches that generate SBP groups. Overall, our study provides new evidence of a significant demand-side commonality associated with SBP affiliations.

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