Market prices are well known to efficiently collect and aggregate diverse information regarding the economic value of goods, services, and firms, particularly when trading financial securities. We propose a novel application of the price discovery mechanism in the context of marketing research:...

Using a novel data set, we study the soft information in subprime mortgages that is not verifiable by a third party, and its relationship with mortgage default. We find that lender effort to collect soft information is intertwined with borrower self-selection into subprime mortgages. We employ...