A0808
Title: Asset pricing with co-search interaction
Authors: Stanley Iat-Meng Ko - Tohoku University (Japan) [presenting]
Yasumasa Matsuda - Tohoku University (Japan)
Runyu Dai - Tohoku University (Japan)
Jieying Zhang - Tohoku University (China)
Abstract: The effect of internet co-search activities of listed stocks on their returns in the stock market is studied. The internet traffic on the US Securities and Exchange Commission's (SEC) Electronic Data Gathering, Analysis, and Retrieval (EDGAR) website is explored, which holds all public US companies' information with hundreds of thousands of document views per day by users. Co-searched firms are identified, i.e. one firm is searched subsequently after another, and such information is incorporated into the conventional asset pricing model. The contributions are threefold. First, the micro-level behavioral information of individual stocks is introduced to the empirical asset pricing literature, whereas traditional asset pricing studies focus on aggregated portfolios. Second, with the identification of co-search peers, the co-search network is defined and constructed in the universe of trading stocks. Through the lens of the co-search network, the dependence of the virtual spatial stock return across the network is identified. Third, the traditional linear asset pricing model is extended using the spatial arbitrage pricing theory (S-APT).
