Data Abundance and Asset Price Informativeness

54 Pages Posted: 21 Feb 2014 Last revised: 26 Mar 2017

Jérôme Dugast

Luxembourg School of Finance

Thierry Foucault

HEC Paris - Finance Department

Multiple version iconThere are 2 versions of this paper

Date Written: March 25, 2017


Information processing filters out the noise in data but it takes time. Hence, low precision signals are available before high precision signals. To capture this feature, we develop a model of securities trading in which investors can acquire signals (about future cash flows) of increasing precision over time. As the cost of producing low precision signals declines, prices are more likely to reflect these signals before more precise signals become available. This effect increases price informativeness in the short run but not necessarily in the long run, because it reduces the profit from trading on more precise signals. We make additional predictions for trade and price patterns.

Keywords: Asset Price Informativeness, Big Data, FinTech, 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 (March 25, 2017). 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)


Paper statistics

Abstract Views