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Where Has All the Data Gone?

Author(s)
Farboodi, Maryam; Matray, Adrien; Veldkamp, Laura; Venkateswaran, Venky
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Abstract
<jats:title>Abstract</jats:title> <jats:p>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.</jats:p>
Date issued
2021
URI
https://hdl.handle.net/1721.1/144283
Department
Sloan School of Management
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

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