Where Has All the Data Gone?
From Maryam Farboodi, Adrien Matray and Laura Veldkamp
Since the finance industry is transforming into a data industry, measuring the quantity of data investors have about various assets is important. Informed by a structural model, we develop such a cross-sectional measure. We show how our measure differs from price informativeness and use it to document a new fact: data about large high-growth firms is becoming increasingly abundant, relative to data about other firms. Our structural model offers an explanation for this data divergence: large high-growth firms’ data became more valuable, as big firms got bigger and growth magnified the effect of these changes in size.
![Maryam Farboodi](/sites/default/files/styles/profile_detail_headshot/public/profile-images/2024/02/27/profile-image-173646.png?h=7f412c8f&itok=9kuV2VIj)
Featured Publication
Farboodi, Maryam, Adrien Matray, Laura Veldkamp, and Venky Venkateswaran. The Review of Financial Studies Vol. 35, No. 7 (2023): 3101–3138. SSRN Preprint.