Data Abundance and Asset Price Informativeness

49 Pages Posted: 21 Feb 2014 Last revised: 23 Feb 2016

Jérôme Dugast

Luxembourg School of Finance

Thierry Foucault

HEC Paris - Finance Department

Multiple version iconThere are 2 versions of this paper

Date Written: February 19, 2016


We consider a model in which investors can acquire either raw or processed information about the payoff of a risky asset. Information processing filters out the noise in raw information but it takes time. Hence, investors buying processed information trade with a lag relative to investors buying raw information. As the cost of raw information declines, more investors trade on it, which reduces the value of processed information, unless raw information is very unreliable. Thus, a decline in the cost of raw information can reduce the demand for processed information and, for this reason, the informativeness of the asset price in the long run.

Keywords: Price Informativeness, Information Processing, Markets for Information, Contrarian and momentum trading

JEL Classification: G10, G12, G14

Suggested Citation

Dugast, Jérôme and Foucault, Thierry, Data Abundance and Asset Price Informativeness (February 19, 2016). HEC Paris Research Paper No. FIN-2014-1036; Paris December 2014 Finance Meeting EUROFIDAI - AFFI Paper. Available at SSRN: or

Jérôme Dugast

Luxembourg School of Finance ( email )

4 Rue Albert Borschette
Luxembourg, L-1246
(+352) 46 66 44 5212 (Phone)


Thierry Foucault (Contact Author)

HEC Paris - Finance Department ( email )

1 rue de la Liberation
Jouy-en-Josas Cedex, 78351
(33)139679569 (Phone)
(33)139677085 (Fax)


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