NBER

Adrien Matray

Princeton University
Bendheim Finance Center,
26 Prospect Ave, Princeton, NJ 08540

E-Mail: EmailAddress: hidden: you can email any NBER-related person as first underscore last at nber dot org
Institutional Affiliation: Princeton University

NBER Working Papers and Publications

April 2020Where Has All the Data Gone?
with Maryam Farboodi, Laura Veldkamp, Venky Venkateswaran: w26927
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 struct...

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