On the Capital Market Consequences of Big Data: Evidence from Outer Space

IF 3.9 2区经济学 Q1 Economics, Econometrics and Finance

Journal of Financial and Quantitative Analysis Pub Date : 2024-04-05 DOI:10.1017/s0022109023001448

Zsolt Katona, Marcus O. Painter, Panos N. Patatoukas, Jean Zeng

引用次数: 0

Abstract

We use the introduction of satellite coverage of major retailers to study the capital market implications of unequal access to big data. Satellite data enabled sophisticated investors with access to such data to formulate profitable trading strategies, especially by targeting the upcoming reports of retailers with bad news for the quarter. The introduction of satellite data led to more informed short-selling activity, less informed individual buying activity, and lower stock liquidity around the reports of retailers with satellite coverage. We conclude that unequal access to big data can increase information asymmetry among market participants without immediately enhancing price discovery.

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大数据对资本市场的影响：来自外层空间的证据

我们利用对主要零售商的卫星覆盖来研究资本市场不平等获取大数据的影响。卫星数据使掌握这些数据的成熟投资者能够制定有利可图的交易策略，尤其是针对零售商即将发布的季度坏消息报告。卫星数据的引入导致了更多知情的卖空活动、更少知情的个人购买活动，以及在有卫星数据覆盖的零售商报告前后股票流动性的降低。我们的结论是，对大数据的不平等获取会增加市场参与者之间的信息不对称，而不会立即增强价格发现。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Financial and Quantitative Analysis Multiple-

CiteScore

6.60

自引率

5.10%

发文量

131

期刊介绍： The Journal of Financial and Quantitative Analysis (JFQA) publishes theoretical and empirical research in financial economics. Topics include corporate finance, investments, capital and security markets, and quantitative methods of particular relevance to financial researchers. With a circulation of 3000 libraries, firms, and individuals in 70 nations, the JFQA serves an international community of sophisticated finance scholars—academics and practitioners alike. The JFQA prints less than 10% of the more than 600 unsolicited manuscripts submitted annually. An intensive blind review process and exacting editorial standards contribute to the JFQA’s reputation as a top finance journal.