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Valuing Financial Data / Maryam Farboodi, Dhruv Singal, Laura Veldkamp, Venky Venkateswaran.
- Format:
- Book
- Author/Creator:
- Farboodi, Maryam.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w29894.
- NBER working paper series no. w29894
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2022.
- Summary:
- 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.
- Notes:
- Print version record
- March 2022.
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