Search-based peer firms: Aggregating investor perceptions through internet co-searches
Applying a “co-search” algorithm to Internet traffic at the SEC׳s EDGAR website, we develop a novel method for identifying economically related peer firms and for measuring their relative importance. Our results show that firms appearing in chronologically adjacent searches by the same individual (S...
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| Veröffentlicht in: | Journal of financial economics 2015-05, Vol.116 (2), p.410-431 |
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| container_end_page | 431 |
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| container_title | Journal of financial economics |
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| creator | Lee, Charles M.C. Ma, Paul Wang, Charles C.Y. |
| description | Applying a “co-search” algorithm to Internet traffic at the SEC׳s EDGAR website, we develop a novel method for identifying economically related peer firms and for measuring their relative importance. Our results show that firms appearing in chronologically adjacent searches by the same individual (Search-Based Peers or SBPs) are fundamentally similar on multiple dimensions. In direct tests, SBPs dominate GICS6 industry peers in explaining cross-sectional variations in base firms׳ out-of-sample: (a) stock returns, (b) valuation multiples, (c) growth rates, (d) R&D expenditures, (e) leverage, and (f) profitability ratios. We show that SBPs are not constrained by standard industry classification, and are more dynamic, pliable, and concentrated. We also show that co-search intensity captures the degree of similarity between firms. Our results highlight the potential of the collective wisdom of investors — extracted from co-search patterns — in addressing long-standing benchmarking problems in finance. |
| doi_str_mv | 10.1016/j.jfineco.2015.02.003 |
| format | Article |
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| ispartof | Journal of financial economics, 2015-05, Vol.116 (2), p.410-431 |
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| language | eng |
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| source | Elsevier ScienceDirect Journals |
| subjects | Algorithms Benchmarks Co-search EDGAR search traffic Growth rates Industry classification Internet Investors Peer firm Peers Perception Perceptions Profitability Research & development expenditures Revealed preference Searches Stock returns Studies Websites |
| title | Search-based peer firms: Aggregating investor perceptions through internet co-searches |
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