Skill Acquisition and Data Sales

62 Pages Posted: 16 Nov 2016 Last revised: 1 Feb 2020

See all articles by Shiyang Huang

Shiyang Huang

The University of Hong Kong - Faculty of Business and Economics

Yan Xiong

The Hong Kong University of Science and Technology

Liyan Yang

University of Toronto - Rotman School of Management

Date Written: January 31, 2020

Abstract

We develop a data-sales model to study the implications of alternative data for financial markets. In our setting, investors acquire skills to interpret purchased data and the data seller controls data clarity. Acquiring relevant skills for interpreting the purchased data involves considerable uncertainty, which captures the "gold rush" feature of mining alternative data. This feature implies that price informativeness can increase with skill- acquisition costs and decrease with the average investor skill level. Our analysis sheds light on empirical regularities, such as the time trend of price informativeness and the relation between return volatility and institutional ownership.

Keywords: Data sales, skill acquisition, alternative data, asset prices

JEL Classification: D82, G12, G14

Suggested Citation

Huang, Shiyang and Xiong, Yan and Yang, Liyan, Skill Acquisition and Data Sales (January 31, 2020). Rotman School of Management Working Paper No. 2870190, Available at SSRN: https://ssrn.com/abstract=2870190 or http://dx.doi.org/10.2139/ssrn.2870190

Shiyang Huang

The University of Hong Kong - Faculty of Business and Economics ( email )

Pokfulam Road
Hong Kong
China

Yan Xiong

The Hong Kong University of Science and Technology ( email )

HKUST
Kowloon
Hong Kong
Hong Kong

Liyan Yang (Contact Author)

University of Toronto - Rotman School of Management ( email )

105 St. George Street
Toronto, Ontario M5S 3E6 M5S1S4
Canada

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