Valuing Financial Data

• 成果类型: Article
• 署名作者: Farboodi, Maryam; Singal, Dhruv; Veldkamp, Laura; Venkateswaran, Venky
• 署名单位: Massachusetts Institute of Technology (MIT); National Bureau of Economic Research; Center for Economic & Policy Research (CEPR); Columbia University; New York University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae034
• 发表日期: 2024
• 页码: 938
• 关键词: information acquisition; MARKETS; price

摘要

How should an investor value financial data? The answer is complicated because it depends on the characteristics of all investors. We develop a sufficient statistics approach that uses equilibrium asset return moments to summarize all relevant information about others' characteristics. Our approach values public or private data, data about one or many assets, and data relevant for dividends or sentiment. While different data types, of course, have different valuations, heterogeneous investors also value the same data very differently. This finding suggests a low price elasticity for data demand. Heterogeneous investors' data valuations are also affected very differentially by market illiquidity.