Maryam Farboodi (MIT) is presenting at the VJE-Seminar

05.05.2021

Maryam Farboodi talks about "Valuing Financial Data" on May 6, 1:15 pm - 2:30 pm

Title: Valuing Financial Data (joint with Adrien Matray, Laura Veldkamp and Venky Venkateswaran)

Abstract: How should an investor value financial data? To answer this question, we develop a sufficient statistics-based measurement tool to estimate the value of a wide range of financial data: public or private, about one or many assets, relevant for dividends or sentiment. We use a dynamic asset pricing model with a rich cross-section of heterogeneous assets, data and investor characteristics. Our model-implied measure of data value is a simple, intuitive relationship that corresponds to measurable financial outcomes. Through a series of examples, we show what asset and investor characteristics makes data most valuable, determine how trading frequency matters and calculate the additional value of a star analyst, relative to a median forecaster. Finally, we show that data's value is highly sensitive to the price impact of a trade. Our results suggest that modest fluctuations in market liquidity can eviscerate the value of firms whose main asset is financial data.
 
Website of Maryam Farboodi

VJES Maryam Faboodi