Information Demand during the COVID-19 Pandemic

We investigate whether the extraordinary rise in the participation of retail investors in equity markets during the COVID-19 pandemic, increases the demand for information. Using Google search data for individual stocks, we show that contrary to expectations, investor search for information is substantially lower during the pandemic. Exploiting variation in lockdown policies across U.S. states, we are able to interpret our results in causal terms. We also document that information demand around earnings drops dramatically during the pandemic, consistent with the demand for information being lower. Our results have important consequences for information diffusion, price discovery and market efficiency under extreme uncertainty. We discuss possible explanations for these puzzling results.