Valuing Financial Data

Maryam Farboodi, Dhruv Singal, Laura Veldkamp and Venky Venkateswaran

No 29894, NBER Working Papers from National Bureau of Economic Research, Inc

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.

JEL-codes: G0 G11 G12 G14 (search for similar items in EconPapers)
Date: 2022-03
New Economics Papers: this item is included in nep-fdg, nep-fmk and nep-ifn
Note: AP
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