Data Specialists and Market Efficiency

65 Pages Posted: 27 Mar 2024 Last revised: 18 Apr 2024

See all articles by Massimo Massa

Massimo Massa

INSEAD - Finance

Hong Zhang

Singapore Management University - Lee Kong Chian School of Business

Yijun Zhou

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance

Date Written: February 27, 2024

Abstract

In the age of big data, investors need to process increasingly complicated, multidimensional data to decipher different aspects of a firm. How do investors deal with such multidimensional data? We find more informed institutional investors tend to specialize in subsets of firm aspects (i.e., data specialists). Such data specialization, however, may hamper market efficiency. Inattention shocks to specialists hinder price efficiency in their specialized aspects of firms; other aspects of firms may also be negatively influenced due to strategic complementarity. Specialist inattention also significantly impacts anomaly returns, impeding the price corrective effect of news arrival.

Keywords: Big Data, Institutional Investors, Market Efficiency, Data Specialists, Strategic Complementarity, Anomalies

JEL Classification: G14, G23

Suggested Citation

Massa, Massimo and Zhang, Hong and Zhou, Yijun, Data Specialists and Market Efficiency (February 27, 2024). 2024/26/FIN, Available at SSRN: https://ssrn.com/abstract=4739691 or http://dx.doi.org/10.2139/ssrn.4739691

Massimo Massa

INSEAD - Finance ( email )

Boulevard de Constance
F-77305 Fontainebleau Cedex
France
+33 1 6072 4481 (Phone)
+33 1 6072 4045 (Fax)

Hong Zhang

Singapore Management University - Lee Kong Chian School of Business ( email )

50 STAMFORD ROAD
Office 4087, Lee Kong Chian School of Bu
Singapore, 178899
Singapore

Yijun Zhou (Contact Author)

City University of New York, Baruch College - Zicklin School of Business - Department of Economics and Finance ( email )

55 Lexington Avenue
New York, NY 10010
United States

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