Vlastakis, Nikolaos; Markellos, Raphael N. - In: Journal of Banking & Finance 36 (2012) 6, pp. 1808-1821
We study information demand and supply at the firm and market level using data for 30 of the largest stocks traded on NYSE and NASDAQ. Demand is approximated in a novel manner from weekly internet search volume time series drawn from the recently released Google Trends database. Our paper makes...