Skill Acquisition and Data Sales

• 成果类型: Article
• 署名作者: Huang, Shiyang; Xiong, Yan; Yang, Liyan
• 署名单位: University of Hong Kong; Hong Kong University of Science & Technology; University of Toronto; Peking University
• 刊物名称: MANAGEMENT SCIENCE
• ISSN/ISSBN: 0025-1909
• DOI: 10.1287/mnsc.2021.4117
• 发表日期: 2022
• 页码: 6116-6144
• 关键词: alternative data; INFORMATION; data sales; skill acquisition; Price informativeness; asset prices

摘要

We develop a data-sales model to study the implications of alternative data for financial markets. Investors acquire skills to process the purchased raw data, and developing such skills is costly and involves considerable uncertainty. The data vendor controls the size of the data sample to influence the precision of the information investors can extract from the purchased data. Price informativeness is hump-shaped in skill-acquisition costs although the cost of capital and return volatility are U-shaped in skill-acquisition costs. Similar patterns can arise for skill mean and volatility. Our analysis suggests that the funds and data industries foster each other.