Valuing Financial Data

60 Pages Posted: 15 Nov 2021 Last revised: 25 Apr 2023

See all articles by Maryam Farboodi

Maryam Farboodi

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

Dhruv Singal

Columbia University - Columbia Business School

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

Multiple version iconThere are 2 versions of this paper

Date Written: October 22, 2021

Abstract

How should an investor value financial data? The answer is complicated because
it depends on the characteristics of all investors. We develop a sufficient statistics
approach that uses equilibrium asset return moments to summarize all relevant information
about others' characteristics. It can value data that is public or private, about
one or many assets, relevant for dividends or for sentiment. While different data types
have different valuations, heterogeneous investors value the same data very differently,
which suggests a low price elasticity for data demand. Heterogeneous investors' data
valuations are also affected very differentially by market illiquidity.

Keywords: D82, D83, G14

JEL Classification: data valuation, portfolio theory, information choice, investor heterogeneity

Suggested Citation

Farboodi, Maryam and Singal, Dhruv and Veldkamp, Laura and Venkateswaran, Venky and Venkateswaran, Venky, Valuing Financial Data (October 22, 2021). Available at SSRN: https://ssrn.com/abstract=3947931 or http://dx.doi.org/10.2139/ssrn.3947931

Maryam Farboodi (Contact Author)

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

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National Bureau of Economic Research (NBER) ( email )

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Centre for Economic Policy Research (CEPR)

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Dhruv Singal

Columbia University - Columbia Business School ( email )

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Laura Veldkamp

Columbia University - Columbia Business School ( email )

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National Bureau of Economic Research (NBER)

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Venky Venkateswaran

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

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

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Minneapolis, MN 55480
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