The supply of information and price formation: Evidence from Google's search engine
利用谷歌搜索数据，研究盈利周在线搜索结果的数量、质量和内容如何影响股票价格发现速度，发现信息增加反而减缓价格发现，原因是有用结果被复杂或无关结果挤出首页。
Abstract This study develops several Google search‐based measures to test the relation between earnings‐week online search results and the speed of price discovery. These measures are based on searches using only a firm's ticker symbol in the search string. I collect the total number of search results (across all search result pages) as well as the type and content of search results on the first three pages of search results. I find that the quantity, quality, and content of search results have varying effects on the speed at which earnings news is impounded into stock price. I also find that effects are only observed for search results presented on the first page of a Google search. Overall, my results suggest that (1) increases in online information are associated with slower price discovery, and (2) the likely mechanism by which this association operates is through useful search results being crowded off the first page of results by more complex or irrelevant search results.