Third-Party Cookies, Data Sharing, and Return Comovement

Third-party cookies connect different firms and facilitate data sh aring. We find that common shocks to investor attention via cookie networks yield economically significant c omovement in financial information acquisition, retail t rading, and s tock r eturns. An identification test based on the enactment of the California Consumer Privacy Act confirms this causal l ink. The return comovement among data-sharing firms i s m ore p ronounced i n c onsumer-related i ndustries, for more frequently installed cookies, and in the presence of joint human search on EDGAR and retail buying. Our findings d ocument a b eneficial eff ect: online dat a sha ring all eviates limited investor attention and enhances information diffusion.