European Business Schools Librarian's Group
HEC Research Papers Series,
HEC Paris
No 1518: The Early Bird Catches the Worm: How Lasting is the Value of New, Alternative Data?
Massimo Massa (), Albert Mensah, Vicki Wei Tang () and Prince Elvis Asamoah ()
Additional contact information
Massimo Massa: INSEAD
Albert Mensah: HEC Paris
Vicki Wei Tang: Georgetown University
Prince Elvis Asamoah: City University of Hong Kong
Abstract: We investigate how the information content of alternative data is impounded in prices and the duration of its value to mutual fund managers. Using a regression discontinuity design, we document that mutual funds increase their loadings on specific stocks by 0.7%-3% in response to exogenous, rounding-induced 1-percentage-point increase in ratings from customer-generated comments about companies’ products and services on social media platforms. This effect is more pronounced when information asymmetry is greater. Funds relying more on such data yield higher abnormal future returns and exhibit better stock-picking and market-timing abilities. This effect dissipates when the data becomes public.
Keywords: alternative data; asset pricing; mutual funds
72 pages, April 16, 2024
Full text files
papers.cfm?abstract_id=4788210 HTML file Full text
Questions (including download problems) about the papers in this series should be directed to Antoine Haldemann ()
Report other problems with accessing this service to Sune Karlsson ().
RePEc:ebg:heccah:1518This page generated on 2024-12-03 16:02:32.