Where Has All the Data Gone?

41 Pages Posted: 6 Apr 2020 Last revised: 30 Jul 2022

See all articles by Maryam Farboodi

Maryam Farboodi

Massachusetts Institute of Technology (MIT) - Sloan School of Management; National Bureau of Economic Research (NBER)

Adrien Matray

Princeton University

Laura Veldkamp

Columbia University - Columbia Business School; National Bureau of Economic Research (NBER)

Venky Venkateswaran

New York University (NYU) - Leonard N. Stern School of Business; Federal Reserve Banks - Federal Reserve Bank of Minneapolis

Date Written: April 2020

Abstract

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.

Suggested Citation

Farboodi, Maryam and Matray, Adrien and Veldkamp, Laura and Venkateswaran, Venky and Venkateswaran, Venky, Where Has All the Data Gone? (April 2020). NBER Working Paper No. w26927, Available at SSRN: https://ssrn.com/abstract=3569392

Maryam Farboodi (Contact Author)

Massachusetts Institute of Technology (MIT) - Sloan School of Management ( email )

100 Main Street
E62-416
Cambridge, MA 02142
United States

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Adrien Matray

Princeton University ( email )

Bendheim Center for Finance
26 Prospect Avenue
Princeton, NJ 08540
United States

Laura Veldkamp

Columbia University - Columbia Business School ( email )

3022 Broadway
New York, NY 10027
United States

National Bureau of Economic Research (NBER)

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Venky Venkateswaran

New York University (NYU) - Leonard N. Stern School of Business ( email )

Suite 9-160
New York, NY
United States

Federal Reserve Banks - Federal Reserve Bank of Minneapolis ( email )

90 Hennepin Avenue
Minneapolis, MN 55480
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
50
Abstract Views
438
PlumX Metrics