| 来源类型 | Working Paper
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| 规范类型 | 报告
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| DOI | 10.3386/w29513
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| 来源ID | Working Paper 29513
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| Is Human-Interaction-based Information Substitutable? Evidence from Lockdown |
| Jennie Bai; Massimo Massa
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| 发表日期 | 2021-11-29
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| 出版年 | 2021
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| 语种 | 英语
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| 摘要 | We study information substitutability in the financial market through a quasi-natural experiment: the pandemic-triggered lockdown that has hampered people’s physical interactions and hence the ability to collect, process, and transmit human-interaction-based information. Exploiting the cross-sectional and time-series variation of lockdown and its implications for proximate investment, we investigate how the difficulty of using human-interaction-based information in lockdown has prompted a switch to non-interaction-based information. We show that lockdown reduces fund investment in proximate stocks and generates a portfolio rebalancing toward distant stocks. Such rebalancing negatively impacts fund performance by reducing fund raw (excess) returns an additional 0.51% (0.19%) per month during lockdown, suggesting that human-interaction-based and non-interaction-based information is not easily substitutable. Last, we show that the edge of human-interaction-based information originates preeminently from physical contacts, primarily in cafés, restaurants, bars, and fitness centers, and that the virtual world based on Zoom/Skype/Teams cannot substitute for personal meetings in generating sufficient information. |
| 主题 | Financial Economics
; Portfolio Selection and Asset Pricing
; Financial Markets
; Financial Institutions
; COVID-19
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| URL | https://www.nber.org/papers/w29513
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| 来源智库 | National Bureau of Economic Research (United States)
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| 引用统计 |
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| 资源类型 | 智库出版物
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| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/587187
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推荐引用方式
GB/T 7714 |
Jennie Bai,Massimo Massa. Is Human-Interaction-based Information Substitutable? Evidence from Lockdown. 2021.
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文件名：
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w29513.pdf
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格式：
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Adobe PDF
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