Working Papers

Valuing Financial Data

Maryam Farboodi, Dhruv Singal, Laura Veldkamp and Venky Venkateswaran

Winner of the SFI Outstanding Paper Award, 2022
R&R at The Review of Financial Studies

How should an investor value financial data? The answer is complicated because it depends on the characteristics of all investors. We develop a suffcient statistics approach that uses equilibrium asset return moments to summarize all relevant information about others' characteristics. It can value data that is public or private, about one or many assets, relevant for dividends or for sentiment. While different data types, of course, have different valuations, heterogeneous investors also value the same data very differently, which suggests a low price elasticity for data demand. Heterogeneous investors' data valuations are also affected very differentially by market illiquidity.

Droughts and Asset Prices

Oliver Giesecke, Jessica Goldenring, Dhruv Singal

Updated draft forthcoming

Quantifying impact of water scarcity on the economy and asset prices is challenging. We use a Ricardian approach to assess the impact of droughts in California on market valuations of farmland. Two factors aid our analysis---California's semi-arid conditions and quasi-exogenous shocks to groundwater and surface water availability. We combine novel geospatial data on water access, real estate transactions from Zillow, administrative boundaries and remote sensing imagery on crops and other characteristics. Our findings highlight the role of beliefs about climate risk in shaping the market equilibrium. We then extrapolate the differential impact of water scarcity on land prices to evaluate expected future cash flows.

Firm-Country Ties and Cross-Border Financing

Lukas Felix Fischer and Dhruv Singal

Draft forthcoming

Capital flows and trade flows have become increasingly global in the last few decades. How each of them affect the other is still unclear. We combine data on the global universe of corporate bonds (from Bloomberg and Reuters) with shipment-level trade data to study the linkages between firms' exposure via trade to foreign countries, as well as their activities in the debt markets of these countries.

Inter-regional Inequalities: The Role of Governmental Revenues and Spending

Oliver Giesecke and Dhruv Singal

Draft forthcoming

We construct a novel dataset which captures the geographic incidence of government revenues and expenditures. Government revenues and expenditures revenues and expenditures occur on three different levels in the United States: local, state, and federal. At all levels, government revenues and expenditures add and subtract resources from the private sector. The dataset encompasses all revenues and expenditures at the county-level from 2001-2019, and thus allows to see the net resource allocation through the government. We use this dataset to document several new facts about the relationship between economic activity and the resource allocation by the government.