The impact of social distancing on trading activity during the COVID‐19 pandemic
利用Facebook用户实时位置数据，发现社交距离增加导致总部所在县更难估值的股票异常交易减少，而更易估值的股票异常交易增加，表明信息不对称加剧。
Abstract I explore the impact of social distancing on trading activity during the COVID‐19 pandemic using real‐time location tracking data from Facebook users. I find that stocks categorized as “harder‐to‐value,” which are typically smaller, less transparent, less visible, and less profitable, experience decreased abnormal trading with more social distancing in their headquarters counties. In contrast, “easier‐to‐value” stocks show an increase in abnormal trading due to high social distancing in their headquarters counties. These findings indicate that greater firm‐specific information asymmetry arises from increased social distancing within the firm headquarters counties. Although “easier‐to‐value” stocks can use alternative information sources to mitigate the information asymmetry, “harder‐to‐value” stocks fail to do so and face negative impact on trading. Additional analyses using alternative information channels, market sidedness, and liquidity confirm this hypothesis.