Seminar (Dept. of Accounting)

Theme：Third-Party Cookies, Data Sharing and Return Comovement

Speaker：Zhang Xiaojun, Assistant professor, Peking University

Time：2021-06-09 10:00

Address：Room 1008, Mingde Business Building

Language：Chinese

ABSTRACT:

A third-party cookie connects different firms and allows them to share information with each other, thereby facilitating retargeting activities. Relying on this setting, we examine the capital market consequences of data sharing via cookies. Our findings are consistent with the notion that common shocks to investor attention via cookie networks translate into economically significant information acquisition on the SEC EDGAR system and subsequent stock return comovement. Identification tests based on popup notifications of data collection and the enactment of the California Consumer Privacy Act confirm the causal link. Further cross-sectional analyses reveal that the return comovement among data-sharing firms is more pronounced for consumer-related industries and more frequently installed cookies. These findings motivate a novel trading strategy exploiting the information diffusion in cookie networks.