How the Stock Ticker Decreased Price Efficiency in the Early 20th Century

We study the stock ticker; a physical device that historically disseminated stock price information. We find that an increased number of ticker subscriptions in a state strengthened the return continuation and return co-movement of firms headquartered in the state. This finding indicates that the increased dissemination of price information decreased price efficiency by increasing uninformed trend chasing and challenges the assumption that greater access to information improves price efficiency.