The Use and Usefulness of Big Data in Capital Markets

We study whether “big data” can help market participants form more accurate beliefs. We look at analysts and record when they explicitly reference the use of big data in their written reports. We find that analysts frequently draw from big data, particularly when receiving more timely signals regarding a company’s performance is important, when traditional data are ambiguous, and when analysts lack access to more granular data. Analysts’ use of big data is accompanied by strong improvements in forecast accuracy and heightened stock-market reactions to forecast revisions