HEC Research Papers Series,
HEC Paris

Abstract: We study how technological innovations in information production affect firms' ownership structures. Focusing on the expansion of commercial alternative data, we develop a novel text-based measure of firm-level alternative data coverage. We show that greater alternative data coverage reallocates ownership away from long-term investors and toward hedge funds, which trade more actively and shorten their holding horizons. While this ownership reallocation reduces stock return comovement with the market and industry, consistent with greater incorporation of firm-specific information into prices, it also increases stock price fragility: During market downturns, hedge funds reduce their holdings more aggressively, making highly covered firms' stock prices more sensitive to market-wide shocks. Overall, our findings show that ownership reallocation is one channel through which changes in firms' information environment can increase stock price fragility.

Keywords: Big Data; Ownership; Hedge Funds; Market Fragility

JEL-codes: G11; G14; G23; G32

66 pages, August 27, 2026

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