Download or read book Market Ambiguity and Individual Investor Information Demand written by Rajib Hasan and published by . This book was released on 2018 with total page 40 pages. Available in PDF, EPUB and Kindle. Book excerpt: The U.S. capital market is based on the efficient flow of information to all investors, not just the large, institutional investors that dominate today's markets. Investigating the flow of information to uninformed market participants, we examine whether ambiguity in the market leads to an increase in information demand by individual investors. Basing our hypotheses on the asset pricing model proposed by Mele and Sangiorgi (2015), which incorporates market ambiguity, we measure individual information demand using daily Google searches and measure market ambiguity using a metric based on the market trades of institutional investors. We find that individual investors increase their information demand during periods of greater market ambiguity. In particular, our results show that for random trading days, when there is higher market uncertainty, individual investors demand more information. We also provide evidence that information demand from individual investors spikes around earnings announcement days primarily when market uncertainty is highest. We fail to find evidence of increased demand for information around earnings announcements when there is lower ambiguity, i.e., low disagreement among institutional investors. These results collectively indicate that information demand by uninformed investors is influenced by market uncertainty as measured by the differential trading patterns of informed investors. Finally, we provide evidence that institutional investor disagreement reflected in sell pressure leads to more information demand from individual investors. Overall, these results suggest that the disagreement among institutional investors either represents uncertainty or contributes to the uncertainty related to a stock, leading to increased demand for information from individual investors.