Where Has All the Data Gone?
基于结构模型构建了一个衡量投资者拥有各类资产数据量的指标，发现大市值高增长公司的数据相对其他公司越来越丰富，并解释了这一数据分化的原因。
Abstract Since the finance industry is transforming into a data industry, measuring the quantity of data investors have about various assets is important. Informed by a structural model, we develop such a cross-sectional measure. We show how our measure differs from price informativeness and use it to document a new fact: data about large high-growth firms is becoming increasingly abundant, relative to data about other firms. Our structural model offers an explanation for this data divergence: large high-growth firms’ data became more valuable, as big firms got bigger and growth magnified the effect of these changes in size.