A seminar by Associate Professor Si Cheng from Syracuse University
Title: Third-Party Cookies, Data Sharing, and Return Comovement
Abstract: Third-party cookies connect different firms and facilitate data sharing. We find that common shocks to investor attention via cookie networks yield economically significant comovement in financial information acquisition, retail trading, and stock returns. An identification test based on the enactment of the California Consumer Privacy Act confirms this causal link. The return comovement among data-sharing firms is more pronounced in consumer-related industries, for more frequently installed cookies, and in the presence of joint human search on EDGAR and retail buying. Our findings document a beneficial effect: online data sharing alleviates limited investor attention and enhances information diffusion.
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