Valuing Financial Data

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