The Effect of New Information Technologies on Asset Pricing Anomalies

We test and compare the effects of introduction of two new financial information technologies, EDGAR and XBRL, on well-known asset pricing anomalies often attributed to mispricing. EDGAR facilitates easier access to public accounting information about public firms; XBRL reduces the cost of processing such information. Using stacked difference-in-differences regressions, we find that both EDGAR and XBRL reduce mispricing for accounting-based anomalies but not for non-accounting-based anomalies. The economic magnitudes of the effects on accounting-based anomalies are similar for EDGAR and XBRL. These results suggest that both easier access to and less costly processing of public information enhance market efficiency.