Information Acquisition Costs and Post-Earnings Announcement Drift : Evidence from Wikipedia Articles

Using a novel dataset of Wikipedia revision history, we study the role of information acquisition costs in the capital market. Wikipedia is alleged to summarize relevant corporate information and thereby reduce the information acquisition costs of investors. We collect a large sample of Wikipedia revision histories from 2012 to 2019 and provide evidence that Wikipedia activity is negatively associated with post-earnings announcement drift. We show that the negative relation is more pronounced when the revisions deal with financial performance or firm risks. Furthermore, we document that the negative relation between Wikipedia activity and the drift is more salient when more diverse authors contribute to the revisions and when the covered firms have lower institutional holdings. Our inferences are robust to alternative definitions of cumulative abnormal returns, measurement windows, and a battery of quasi-experimental settings, including the difference-in-differences analysis around the adoption of Google Knowledge Graph in 2012. Overall, we highlight the role of information acquisition costs in price discovery