Equilibrium Data Mining and Data Abundance
研究了数据丰裕如何影响量化与非量化资产管理者的资本配置、业绩和价格信息效率，发现数据丰裕虽提高最优预测精度，但可能降低数据挖掘者的搜寻强度，导致业绩分化并减少其资本流入，但始终提升价格信息效率。
ABSTRACT We study theoretically how the proliferation of new data (“data abundance”) affects the allocation of capital between quantitative and nonquantitative asset managers (“data miners” and “experts”), their performance, and price informativeness. Data miners search for predictors of asset payoffs and select those with a sufficiently high precision. Data abundance raises the precision of the best predictors, but it can induce data miners to search less intensively for high‐precision signals. In this case, their performance becomes more dispersed and they receive less capital. Nevertheless, data abundance always raises price informativeness and can therefore reduce asset managers' average performance.