Valuing Financial Data

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.