On the Capital Market Consequences of Big Data: Evidence from Outer Space

Abstract

We use the introduction of satellite coverage of major retailers to study the capital market implications of unequal access to big data. Our evidence shows that the introduction of satellite data led to more informed short-selling activity, less informed individual buying activity, and lower stock liquidity ahead of the quarterly reports of retailers with satellite coverage. We also find that the introduction of satellite data had no detectable effect on price discovery prior to the public disclosure of retailer performance. We conclude that unequal access to big data can increase information asymmetry among market participants without necessarily enhancing price discovery.

Keywords: Alternative Data; Satellite Imagery; Price Discovery; Information Asymmetry; Individual Trading

JEL Classification: G12, G14, G23