Where Has All the Data Gone?

• 成果类型: Article
• 署名作者: Farboodi, Maryam; Matray, Adrien; Veldkamp, Laura; Venkateswaran, Venky
• 署名单位: Massachusetts Institute of Technology (MIT); Princeton University; Columbia University; New York University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhab110
• 发表日期: 2022
• 页码: 3101
• 关键词: information; prices; size; MARKETS

摘要

Since the finance industry is transforming into a data industry, measuring the quantity of data investors have about various assets is important. Informed by a structural model, we develop such a cross-sectional measure. We show how our measure differs from price informativeness and use it to document a new fact: data about large high-growth firms is becoming increasingly abundant, relative to data about other firms. Our structural model offers an explanation for this data divergence: large high-growth firms' data became more valuable, as big firms got bigger and growth magnified the effect of these changes in size.