Skill Acquisition and Data Sales

Shiyang Huang (), Yan Xiong () and Liyan Yang ()
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Shiyang Huang: Faculty of Business and Economics, The University of Hong Kong, Hong Kong
Yan Xiong: School of Business and Management, Hong Kong University of Science and Technology, Hong Kong
Liyan Yang: Rotman School of Management, University of Toronto, Toronto, Ontario M5S 3E6, Canada; Guanghua School of Management, Peking University, 100871, Peking, China

Management Science, 2022, vol. 68, issue 8, 6116-6144

Abstract: We develop a data-sales model to study the implications of alternative data for financial markets. Investors acquire skills to process the purchased raw data, and developing such skills is costly and involves considerable uncertainty. The data vendor controls the size of the data sample to influence the precision of the information investors can extract from the purchased data. Price informativeness is hump-shaped in skill-acquisition costs although the cost of capital and return volatility are U-shaped in skill-acquisition costs. Similar patterns can arise for skill mean and volatility. Our analysis suggests that the funds and data industries foster each other.

Keywords: alternative data; information; data sales; skill acquisition; price informativeness; asset prices (search for similar items in EconPapers)
Date: 2022
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Citations: View citations in EconPapers (4)

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