Review of Financial Studies Vol. 35 No. 7 2022
Where Has All the Data Gone?
open access
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.
- DOI
- 10.1093/rfs/hhab110
- Volume
- 35
- Issue
- 7
- Pages
- 3101-3138
- Language
- en
- Sources
- bibtex:phds-export.bib openalex crossref