Where Has All the Data Gone?
From Maryam Farboodi, Adrien Matray and Laura Veldkamp
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.
Featured Publication
Farboodi, Maryam, Adrien Matray, Laura Veldkamp, and Venky Venkateswaran. The Review of Financial Studies Vol. 35, No. 7 (2023): 3101–3138. SSRN Preprint.
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