We examine whether ambiguity in the market leads to an increase in information demand by individual investors. Drawing on the asset-pricing model proposed by Mele and Sangiorgi (2015), which incorporates market ambiguity, we measure individual information demand using daily Google searches and measure market ambiguity using a metric based on the market trades of institutional investors. We find that individual investors increase their information demand during periods of greater market ambiguity. We also provide evidence that information demand from individual investors spikes around earnings announcement days primarily when market uncertainty is driven by net-selling activity. Overall, these results suggest that the disagreement among institutional investors either represents uncertainty or contributes to the uncertainty related to a stock, leading to increased demand for information from individual investors.

Document Type

Post-print Article

Publication Date


Publisher Statement

Copyright © 2018 Elsevier Ltd. Article first published online: April 2018.

DOI: 10.1016/j.jcae.2018.03.001

The definitive version is available at:

Please note that downloads of the article are for private/personal use only.

Full citation:

Hasan, Rajib, Abdullah Kumas, and van der Laan Smith, Joyce. “Market Ambuiguity and Individual Investor Infomration Demand.” Journal of Contemporary Accounting & Economics 14, no. 1 (2018): 126-141.