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Where Has All the Data Gone? / Maryam Farboodi, Adrien Matray, Laura Veldkamp, Venky Venkateswaran.
- Format:
- Book
- Author/Creator:
- Farboodi, Maryam.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w26927.
- NBER working paper series no. w26927
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2020.
- Summary:
- As financial technology improves and data becomes more abundant, do market prices reflect this data growth? While recent studies documented rises in the information content of prices, we show that, across asset types, there is data divergence. Large, growth stock prices increasingly reflect information about future firm earnings. This is the rise reflected in the previous studies. But over the same time period, the information content of small and value firm prices was flat or declining. Our structural estimation allows us to disentangle these informational trends from changing asset characteristics. These facts pose a new puzzle: Amidst the explosion of data processing, why has this data informed only the prices of a subset of firms, instead of benefiting the market as a whole? Our structural model offers a potential answer: Large growth firms' data grew in value, as big firms got bigger and growth magnified the effect of these changes in size.
- Notes:
- Print version record
- April 2020.
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