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Search-Based Peer Groups and Commonality in Liquidity

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  • Paul Brockman
  • Dennis Y Chung
  • Neal M Snow

Abstract

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.

Suggested Citation

  • Paul Brockman & Dennis Y Chung & Neal M Snow, 2023. "Search-Based Peer Groups and Commonality in Liquidity," Review of Finance, European Finance Association, vol. 27(1), pages 33-77.
    • Handle: RePEc:oup:revfin:v:27:y:2023:i:1:p:33-77.
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    File URL: http://hdl.handle.net/10.1093/rof/rfab033
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    1. Pawan Jain & Mohamed Mekhaimer & Ronald W. Spahr & Mark A. Sunderman, 2024. "Freedom of choice impact on country-specific liquidity commonality," Review of Quantitative Finance and Accounting, Springer, vol. 63(1), pages 265-309, July.

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    More about this item

    Keywords

    Peer firm; EDGAR; Liquidity;
    All these keywords.

    JEL classification:

    • D83 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Search; Learning; Information and Knowledge; Communication; Belief; Unawareness
    • G10 - Financial Economics - - General Financial Markets - - - General (includes Measurement and Data)
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions

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