Where Has All the Data Gone?
The finance industry is transforming into a data industry. As data used to inform investments becomes more central, we need to measure the quantity of data investors have about various assets. 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 growth firms is becoming increasingly abundant, relative to data about other firms. Our structural model offers an explanation for this data divergence: Large growth firms' data became more valuable, as big firms got bigger and growth magnified the effect of these changes in size.