The Value of Data to Fixed Income Investors

30 Pages Posted: 31 Jan 2023

See all articles by Jennie Bai

Jennie Bai

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

Jian Li

Columbia University - Columbia Business School, Finance

Asaf Manela

Washington University in St. Louis - John M. Olin Business School; Reichman University

Date Written: January 30, 2023

Abstract

Using a structural model, we estimate the value of data to fixed income investors and study its main drivers. In the model, data is more valuable for bonds that are volatile and for which price-insensitive liquidity trades are more likely. Empirically, we find that the value of data on corporate bonds increases with yield, time-to-maturity, size, callability, liquidity, and uncertainty during normal times. However, these cross-sectional differences vanish as the value of data falls during financial crises. Using a regression discontinuity based on maturity, we provide causal evidence that investor composition affects the value of data.

Keywords: value of data, information, fixed income, corporate bond, institutional investor

JEL Classification: G14, G22, G23, D80

Suggested Citation

Bai, Jennie and Li, Jian and Manela, Asaf, The Value of Data to Fixed Income Investors (January 30, 2023). Georgetown McDonough School of Business Research Paper No. 4343095, Available at SSRN: https://ssrn.com/abstract=4343095 or http://dx.doi.org/10.2139/ssrn.4343095

Jennie Bai

Georgetown University - McDonough School of Business ( email )

3700 O Street, NW
Washington, DC 20057
United States

HOME PAGE: http://www.jenniebai.com

National Bureau of Economic Research (NBER) ( email )

1050 Massachusetts Avenue
Cambridge, MA 02138
United States

Jian Li (Contact Author)

Columbia University - Columbia Business School, Finance ( email )

3022 Broadway
New York, NY 10027
United States

Asaf Manela

Washington University in St. Louis - John M. Olin Business School ( email )

One Brookings Drive
Campus Box 1133
St. Louis, MO 63130-4899
United States
314-935-9178 (Phone)

HOME PAGE: http://apps.olin.wustl.edu/faculty/manela

Reichman University ( email )

Israel

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