Search-based peer firms: Aggregating investor perceptions through internet co-searches

Lee, Charles M.C.; Ma, Paul; Wang, Changyi Chang-Yi

doi:10.1016/j.jfineco.2015.02.003

Cited by 240 publications

(110 citation statements)

References 25 publications

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“…This approach does not work at all for any firms with fewer than 2 analysts. Lee et al (2015) uses internet co-searches at the SEC's EDGAR website to aggregate investor perception in identifying peer firms. They find that firms appearing in chronologically adjacent searches by the same individual appear to be fundamentally similar in a variety of dimensions.…”

Section: Analyst Co-coveragementioning

confidence: 99%

“…Similar in spirit to explaining out-of-sample variations in monthly returns in Table 3 of Lee et al (2015), I examine the future comovemenet of key market and financial variables between the base firm and its top peer identified under different methodology.…”

Section: Future Comovement Of Key Market and Financial Variablesmentioning

confidence: 99%

“…While Lee et al (2015) present the results using the R 2 from univariate regressions of monthly returns, I use the correlation in monthly returns in a rolling window for the next 5 years, which can be viewed as a direct transformation from R 2 in univariate regression.…”

Section: Future Comovement Of Key Market and Financial Variablesmentioning

confidence: 99%

“…In addition to monthly return as examined in Lee et al (2015), I also examine the comovement of daily return in the coming year, comovement of earnings in the coming 5 years and the comovement of operating cash flows in the coming 5 years.…”

Section: Future Comovement Of Key Market and Financial Variablesmentioning

confidence: 99%

“…For example, Pyo and Lustgarten (1990) used the historical correlation in annual earnings and Parrino (1997) used return-based correlation to measure industry homogeneity within 2-digit SIC industries. More recently, Lee et al (2015) even tried to use the intensity of internet co-searches as a measure of similarity between firms. While a variety of methods are being used by different papers, it is not clear how well each method performs and compares against one another.…”

Section: Introductionmentioning

confidence: 99%

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Informational Uniqueness, Corporate Disclosure, and Information Environment

Chau

2016

SSRN Journal

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This dissertation examines how the lack of comparable public peers ("informational uniqueness") is related to a firm's disclosure policy and information environment.Having less information spillover from other public firms may present an information deficiency if it is not compensated by other components of the information environment. Using textual similarity in business description among firms to measure the extent of peer presence, I find that informational uniqueness is associated with a higher propensity by firms to provide ongoing bundled guidance. This is consistent with firms attempting to mitigate the information deficiency through strengthening their tacit commitment to continued disclosure by providing more information regularly on predictable schedules. Overall, I find a strong negative relationship between informational uniqueness and the quality of corporate information environment only among firms without regular bundled guidance. My results suggest that, while informational uniqueness can generate significant information deficiency, firms with strong tacit commitment to ongoing disclosure are largely able to compensate for the lack of information spillover from peers.On the flip side, firms surrounded by many peers may be subject to the influence of peer dynamics on their disclosure behavior. While the presence of comparable public peers likely expands investors' information endowment on the base firm through information spillover on related exposures, discretionary disclosures by peer firms may also signal information arrival. This can raise investors' inferred probability that non-disclosure is due to strategic information withholding rather than the absence of new information. In relation to this, I show that the bid-ask spread of the base firm slightly increases when its closest peer initiates discretionary disclosures, but subsequently decreases upon disclosure by the base firm. In addition, I find that the number of comparable public peers is strongly positively associated with the frequency of discretionary disclosure. Overall, these results suggest that the presence of peer dynamics can induce firms with more peers to provide discretionary disclosures more frequently. This dissertation examines how the lack of comparable public peers ("informational uniqueness") is related to a firm's disclosure policy and information environment. Having less information spillover from other public firms may present an information deficiency if it is not compensated by other components of the information environment. Using textual similarity in business description among firms to measure the extent of peer presence, I find that informational uniqueness is associated with a higher propensity by firms to provide ongoing bundled guidance. This is consistent with firms attempting to mitigate the information deficiency through strengthening their tacit commitment to continued disclosure by providing more information regularly on predictable schedules.Overall, I find a strong negative relationship betwe...

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Section: Analyst Co-coveragementioning

confidence: 99%

Section: Future Comovement Of Key Market and Financial Variablesmentioning

confidence: 99%

Section: Future Comovement Of Key Market and Financial Variablesmentioning

confidence: 99%

Section: Future Comovement Of Key Market and Financial Variablesmentioning

confidence: 99%

Section: Introductionmentioning

confidence: 99%

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Informational Uniqueness, Corporate Disclosure, and Information Environment

Chau

2016

SSRN Journal

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Enhancing the Accuracy of Firm Valuation with Multiples Using Carbon Emissions

Nerlinger¹

2022

Climate Investing

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Are crises sentimental?

Chen

Yan

2020

Int. J Fin Econ

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This paper examines the role of investor sentiment in signalling the onset of equity crises in a panel of over 50 countries. We find that although poor economic fundamentals are significant determinants of the vulnerability of countries, a shift from bullish to bearish investor sentiment acts as the final trigger. Bearish investor sentiment in regional and local markets exhibits significant predictive power for the outbreak of equity crises in the subsequent one to eight quarters, beyond that forecasted by pure economic fundamentals. The results remain broadly unchanged even after we orthogonalize the sentiment indices to information about economic fundamentals.

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Search-based peer firms: Aggregating investor perceptions through internet co-searches

Cited by 240 publications

References 25 publications

Informational Uniqueness, Corporate Disclosure, and Information Environment

Informational Uniqueness, Corporate Disclosure, and Information Environment

Enhancing the Accuracy of Firm Valuation with Multiples Using Carbon Emissions

Are crises sentimental?

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