Information Acquisition and Market Liquidity : Evidence from Edgar Search Activity

We find that the acquisition of private information is associated with an improvement in market liquidity. An empirical analysis of search activity through EDGAR as a proxy for information acquisition provides evidence for a theoretical gap in market microstructure models. We also find EDGAR search is associated with non-synchronicity, more efficient prices, and is negatively associated with PIN measure. These results support that the main finding can be explained through improved incorporation of information into prices and employing sophisticated trading strategies by informed traders