Senior Fellows/Fellows

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Senior Fellows/Fellows

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Jun 2025

The Effect of New Information Technologies on Asset Pricing Anomalies

We test and compare the effects of introduction of two new financial information technologies, EDGAR and XBRL, on well-known asset pricing anomalies often attributed to mispricing. EDGAR facilitates easier access to public accounting information about public firms; XBRL reduces the cost of processing such information. Using stacked difference-in-differences regressions, we find that both EDGAR and XBRL reduce mispricing for accounting-based anomalies but not for non-accounting-based anomalies. The economic magnitudes of the effects on accounting-based anomalies are similar for EDGAR and XBRL. These results suggest that both easier access to and less costly processing of public information enhance market efficiency
Keywords: financial information technologies, anomalies, limited attention, limited processing power, stacked difference-in-differences, EDGAR, XBRL
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