Valuing Financial Data
研究投资者如何评估金融数据的价值，提出用均衡资产回报矩来概括其他投资者特征的方法，发现不同投资者对同一数据的估值差异很大，且市场流动性对不同投资者的数据估值影响不同。
Abstract How should an investor value financial data? The answer is complicated because it depends on the characteristics of all investors. We develop a sufficient statistics approach that uses equilibrium asset return moments to summarize all relevant information about others’ characteristics. Our approach values public or private data, data about one or many assets, and data relevant for dividends or sentiment. While different data types, of course, have different valuations, heterogeneous investors also value the same data very differently. This finding suggests a low price elasticity for data demand. Heterogeneous investors’ data valuations are also affected very differentially by market illiquidity.