This study examines whether investor attention, proxied by abnormal Google search volume, is associated with the analyst information environment during non-earnings announcement periods. By focusing on inter-announcement windows, the study isolates investor-driven information demand from earnings-related disclosures and explores how information diffusion and analyst information production operate outside formal reporting periods.
The study analyzes the relation between abnormal Google search volume and measures of information uncertainty and information precision during non-earnings announcement periods. It contrasts search-based attention with abnormal trading volume to assess their differential informational properties. To address potential endogeneity, a two-stage least squares (2SLS) approach is employed, using prior-period dividend issuance, share repurchases and equity issuance as instrumental variables for abnormal search volume.
Abnormal Google search volume during non-earnings announcement periods is negatively associated with overall information uncertainty and positively associated with both public and private information precision. These associations are stronger for firms that issued dividends in the prior quarter. In contrast, abnormal trading volume is positively associated with information uncertainty and negatively associated with information precision. The instrumental variable results are consistent with ordinary least squares estimates, supporting the robustness of the findings.
This study contributes to the investor attention and information environment literature by shifting the focus from earnings announcement windows to inter-announcement periods. It highlights the distinct informational role of search-based investor attention relative to trading activity and provides evidence that investor search behavior is systematically related to analyst information outcomes beyond formal disclosure events.
