We study how environmental, social and governance (ESG) investing reshapes information
aggregation by prices. We develop a rational expectations equilibrium model in which …

Financial markets have a central role in allocating resources in modern economies. One of
the main functions of financial markets is the discovery of information. This information in …

Based on an asset demand system, we develop a framework to quantify the impact of market
trends and changes in regulation on asset prices, price informativeness, and the wealth …

We develop a framework to theoretically and empirically analyze how investors compete
with each other in financial markets. In the classic view that markets are fiercely competitive …

Using the introduction of high-speed rail (HSR) as an exogenous shock to costs of
information acquisition, we show reductions in information-acquisition costs lead to (i) a …

We study the impact of foreign institutional investors on price efficiency with firm-level
international data. Using additions to the MSCI index and the US Jobs and Growth Tax …

Valuing Data as an Asset* | Review of Finance | Oxford Academic Skip to Main Content
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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 …

We study the effect of trading costs on information aggregation and acquisition in financial
markets. For a given precision of investors' private information, an irrelevance result …

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 …