We study how alternative data influences investors’information acquisition and market efficiency from both short-term and long-term perspectives. Using the exogenous introduction of online sales data on a major Chinese financial information platform, we find that such disclosure enhances investors’information processing capacity. In the short term, firms covered by online sales data exhibit weaker market reactions to unexpected earnings, reflecting more accurate earnings expectations. In the long term, online sales disclosure strengthens the link between earnings and stock returns, indicating higher earnings value relevance. These results are robust to a series of endogeneity tests and robustness checks. Cross-sectional analyses indicate that these effects are more pronounced for firms with lower institutional ownership, higher earnings volatility, and greater reliance on online sales. Mechanism analyses show that short-term effects operate through improved analyst forecast accuracy, while long-term effects are jointly driven by higher firms' earnings quality and enhanced analyst performance. These findings offer new perspectives on market efficiency and fresh evidence on investor information processing.