Data is one of the most valuable assets in the modern economy. Yet the tools we have to quantify that value are scant. We offer a tool that an investor or financial firm can use to value its existing data, or a potential stream of data that it is considering to acquire. Along with information about the distribution of investor characteristics, researchers can use this tool to trade out the demand curve for data. (...)
The advantage of our measurement tool is its simplicity. While our measure of the value of data is derived from a structural model, computing it does not require estimating structural parameters. Instead, the relevant sufficient statistics are simple means and variances of linear regression residuals. No matter whether the data is public, private, or known only to a fraction of investors, these methods are valid. Even if the data is about sentiments or order flows, as long as it is measured along with the market prices in the observable data set, our data value measure offers a meaningful assessment of its value to an investor.
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