The Early Bird Catches the Worm: How Lasting is the Value of New, Alternative Data?

Massimo Massa (massimo.massa@insead.edu), Albert Mensah, Vicki Wei Tang (wt29@georgetown.edu) and Prince Elvis Asamoah (peasamoah2-c@my.cityu.edu.hk)
Additional contact information
Massimo Massa: INSEAD
Albert Mensah: HEC Paris
Vicki Wei Tang: Georgetown University
Prince Elvis Asamoah: City University of Hong Kong

No 1518, HEC Research Papers Series from HEC Paris

Abstract: We investigate how the information content of alternative data is impounded in prices and the duration of its value to mutual fund managers. Using a regression discontinuity design, we document that mutual funds increase their loadings on specific stocks by 0.7%-3% in response to exogenous, rounding-induced 1-percentage-point increase in ratings from customer-generated comments about companies’ products and services on social media platforms. This effect is more pronounced when information asymmetry is greater. Funds relying more on such data yield higher abnormal future returns and exhibit better stock-picking and market-timing abilities. This effect dissipates when the data becomes public.

Keywords: alternative data; asset pricing; mutual funds (search for similar items in EconPapers)
JEL-codes: G11 G12 G14 (search for similar items in EconPapers)
Pages: 72 pages
Date: 2024-04-16
New Economics Papers: this item is included in nep-pay
References: Add references at CitEc
Citations:

Downloads: (external link)
https://papers.ssrn.com/sol3/papers.cfm?abstract_id=4788210 Full text (text/html)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:ebg:heccah:1518

DOI: 10.2139/ssrn.4788210

Access Statistics for this paper

More papers in HEC Research Papers Series from HEC Paris HEC Paris, 78351 Jouy-en-Josas cedex, France. Contact information at EDIRC.
Bibliographic data for series maintained by Antoine Haldemann (haldemann@hec.fr).