The Accounting Review, July 2017, Vol. 92, No. 4, pp. 115-143

谷歌搜索的本地偏好和盈利公告的市场反应

作者：Sabrina S. Chi (Texas Tech University, USA)

Devin M. Shanthikumar (University of California, USA)

摘要

我们研究了距离对互联网搜索的影响，以及“本地偏好”搜索对股票市场的盈利公告反应的影响。我们在搜索行为中发现了明显的本地偏好。受解释本地偏好、本地信息优势和熟悉性偏好的理论所驱使，我们预测并发现了在盈利公告发布时具有较高的本地偏好搜索的公司有着更高的买卖价差，更低的交易量和更低的收入反应系数，这与非本地投资者更多依赖于公共信息发布的理论一致。与本地信息优势相一致的是，我们发现在公告发布的前一周，具有较高本地偏好的公司有更高的买卖价差，更高的交易量，以及更能预测即将到来的盈利惊喜的回报。与熟悉性偏好一致的是，具有较高本地偏好搜索的公司在公告后有更强的收益趋势。我们使用了独特的预测、倾向评分匹配和两阶段最小二乘法，以确定本地偏好对整体可见性的影响。总的来说，我们表明了本地偏好搜索的显著存在，并且这种本地偏好对盈利公告的市场反应有重要影响。

Local Bias in Google Search and the Market Response around Earnings Announcements

Sabrina S. Chi (Texas Tech University, USA), Devin M. Shanthikumar (University of California, USA)

ABSTRACT

We examine the impact of distance on internet search, and the effect of the “local bias” in search on the stock market response around earnings announcements. We find significant local bias in search behavior. Motivated by theories explaining local bias, local information advantage, and familiarity bias, we predict and find that firms with higher local bias in search experience higher bid-ask spreads, lower trading volumes, and lower earnings response coefficients at the time of earnings announcements, consistent with non-local investors relying more than locals on public information announcements. Consistent with local information advantage, we find that in the week prior to the announcement, firms with higher local bias have higher bid-ask spreads, higher trading volumes, and returns that are more predictive of the coming earnings surprise. Consistent with familiarity bias, firms with higher local bias in search experience stronger post-earnings announcement drift. We use unique predictions, propensity score matching, and two-stage least squares to identify the effects of local bias separately from the effects of overall visibility. Overall, we show there is significant local bias in search, and that this local bias has a significant impact on the market response around earnings announcements.

原文链接：http://www.aaajournals.org/doi/pdf/10.2308/accr-51632

翻译：阙江静