Where Has All the Data Gone?
Name
FMVV_DataGone_Apr2021.pdf
Description
Accepted version
Size
784 KB
Format
Adobe PDF
Checksum (MD5)
d36a87b942ea0458d1c8af4105345b20
Author(s)
Farboodi, Maryam
Matray, Adrien
Veldkamp, Laura
Venkateswaran, Venky
Date Issued
2021
Journal
Review of Financial Studies
Publisher
Oxford University Press (OUP)
Citation
Farboodi, Maryam, Matray, Adrien, Veldkamp, Laura and Venkateswaran, Venky. 2021. "Where Has All the Data Gone?." Review of Financial Studies, 35 (7).
Version
Author's final manuscript
Abstract
Abstract
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.
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.
MIT Department
Sloan School of Management
Terms of Use
Creative Commons Attribution-Noncommercial-Share Alike
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DOI of Published Version
https://doi.org/10.1093/RFS/HHAB110
