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Valuing Financial Data

Author

Listed:
  • 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.

Suggested Citation

  • Maryam Farboodi & Dhruv Singal & Laura Veldkamp & Venky Venkateswaran, 2022. "Valuing Financial Data," NBER Working Papers 29894, National Bureau of Economic Research, Inc.
    • Handle: RePEc:nbr:nberwo:29894
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    Cited by:

    1. Laura Veldkamp, 2023. "Valuing Data as an Asset," Review of Finance, European Finance Association, vol. 27(5), pages 1545-1562.

    More about this item

    JEL classification:

    • G0 - Financial Economics - - General
    • G11 - Financial Economics - - General Financial Markets - - - Portfolio Choice; Investment Decisions
    • G12 - Financial Economics - - General Financial Markets - - - Asset Pricing; Trading Volume; Bond Interest Rates
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading

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