The information content of financial survey response data

James Westland

Financial Innovation, 2015, vol. 1, issue 1, 1-20

Abstract: Abstract Market data for financial studies typically derives from either historical transactions or contemporaneous surveys of sentiment and perceptions. The research communities analyzing data from these opposing categories of source data see themselves as distinct, with advantages not shared by the other. This research investigates these latter claims in an information theoretic context, and suggests where methods and controls can be improved. The current research develops a Fisher Information metric for Likert scales, and explores the effect of particular survey design decisions or results on the information content. A Fisher Information metric outperforms earlier metrics by converging reliably to values that are intuitive in the sense that they suggest that information captured from subjects is fairly stable. The results of the analysis suggest that varying bias and response dispersion inherent in specific surveys may require increases of sample size by several orders of magnitude to compensate for information loss and in order to derive valid conclusions at a given significance and power of tests. A prioritization of quality of design, and the factors relevant to survey design are presented in the conclusions, and illustrative examples provide insight and guidance to the assessment of information content in a survey.

Keywords: Financial transactions; Information theory; Survey; Economics; Mathematical models (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://link.springer.com/10.1186/s40854-015-0011-8 Abstract (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:spr:fininn:v:1:y:2015:i:1:d:10.1186_s40854-015-0011-8

Ordering information: This journal article can be ordered from
http://www.springer. ... nomics/journal/40589

DOI: 10.1186/s40854-015-0011-8

Access Statistics for this article

Financial Innovation is currently edited by J. Leon Zhao and Zongyi

More articles in Financial Innovation from Springer, Southwestern University of Finance and Economics
Bibliographic data for series maintained by Sonal Shukla () and Springer Nature Abstracting and Indexing ().