Working Paper: NBER ID: w29894
Authors: Maryam Farboodi; Dhruv Singal; Laura Veldkamp; Venky Venkateswaran
Abstract: How should an investor value financial data? The answer is complicated because it depends on the characteristics of all investors. We develop a sufficient statistics approach that uses equilibrium asset return moments to summarize all relevant information about others' characteristics. It can value data that is public or private, about one or many assets, relevant for dividends or for sentiment. While different data types have different valuations, heterogeneous investors value the same data very differently, which suggests a low price elasticity for data demand. Heterogeneous investors' data valuations are also affected very differentially by market illiquidity.
Keywords: No keywords provided
JEL Codes: G0; G11; G12; G14
Edges that are evidenced by causal inference methods are in orange, and the rest are in light blue.
| Cause | Effect |
|---|---|
| Investor wealth (G19) | Data valuation (D46) |
| Investment style (G11) | Data valuation (D46) |
| Breadth of data access (C81) | Value of specific data (Y10) |
| Trading horizon (F14) | Value of analyst forecast data (G17) |