| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w26927 |
| 来源ID | Working Paper 26927 |
| Where Has All the Data Gone? | |
| Maryam Farboodi; Adrien Matray; Laura Veldkamp; Venky Venkateswaran | |
| 发表日期 | 2020-04-06 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | 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. |
| 主题 | Financial Economics ; Financial Markets |
| URL | https://www.nber.org/papers/w26927 |
| 来源智库 | National Bureau of Economic Research (United States) |
| 引用统计 | |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/584600 |
| 推荐引用方式 GB/T 7714 | Maryam Farboodi,Adrien Matray,Laura Veldkamp,et al. Where Has All the Data Gone?. 2020. |
| 条目包含的文件 | ||||||
| 文件名称/大小 | 资源类型 | 版本类型 | 开放类型 | 使用许可 | ||
| w26927.pdf（709KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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