Loading...
Please wait, while we are loading the content...
Similar Documents
Where has all the data gone?
| Content Provider | Semantic Scholar |
|---|---|
| Author | Farboodi, Maryam Matray, Adrien Veldkamp, Laura L. Venkateswaran, Venky |
| Copyright Year | 2014 |
| Abstract | As nancial technology improves and data becomes more abundant, do market prices re ect this growing information and allocate capital more e ciently? While a number of recent studies have documented rises in aggregate price e ciency, we show that there are large cross-sectional di erences. The previously-documented increases are driven by a rise in the informativeness of large, growth stocks. The informational e ciency of smaller assets' prices or prices of assets with less growth potential are either at or declining. We document these new facts and use a structural model to decompose changes in price informativeness into the e ects of changes in information and in growth or volatility characteristics of the assets. Finally, by computing the initial value of data implied by our structural model, we show that these ndings could be explained partly by the fact that large rms have grown relatively larger. Since growth magni es the e ect of changes in size, processing data about large-growth rms has becoming more and more valuable, relative to other rms. ∗MIT Sloan and NBER; farboodi@princeton.edu †Princeton University; amatray@princeton.edu ‡Columbia Business School, NBER, and CEPR; lv2405@columbia.edu NYU Stern School of Business, NBER; vvenkate@stern.nyu.edu ¶We thank John Barry, Matias Covarrubias, Ye Zhen and Joseph Abadi for their excellent research assistance, Vincent Glode, Brian Weller, Ben Golub and Pete Kyle for their insightful and helpful suggestions, and participants in the 2017 NBER Summer Institute, 2018 Econometric Society meetings, and Columbia macro lunch for their comments. JEL codes: |
| Starting Page | 59 |
| Ending Page | 64 |
| Page Count | 6 |
| File Format | PDF HTM / HTML |
| DOI | 10.1071/PVv2014n172p39 |
| Volume Number | 2014 |
| Alternate Webpage(s) | https://www0.gsb.columbia.edu/mygsb/faculty/research/pubfiles/26098/FMVV_DataGone_Oct2019.pdf |
| Alternate Webpage(s) | https://doi.org/10.1071/PVv2014n172p39 |
| Language | English |
| Access Restriction | Open |
| Content Type | Text |
| Resource Type | Article |
