Where Has All the Data Gone?

Maryam Farboodi

doi:10.1093/rfs/hhab110

Where Has All the Data Gone?

2021-10-17

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AI

DOI：10.1093/rfs/hhab110

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Abstract

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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.

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Where Has All the Data Gone?

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