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F. Lu and Y. Liu: How Valuable Are Consumers’ Digital Footprints?

January 31, 2025

We measure firms’ value of consumer data, or digital footprints and consumers’ privacy preferences by using a combination of option and stock data on various regulatory policies. Standard methods such as CARs underestimate the negative stock returns on consumer-app intensive firms during the passage of GDPR or CCPA. The average negative stock returns range from-10% to-20%, amounting to a market cap loss of 0.44 billions for big tech firms in the GDPR passage, or 1.06 billions in the CCPA passage. Complement to this methodology, we also estimate changes in firm app privacy settings at the mobile-app permission level that allows us to estimate the value of data tracking back to different digital footprints. Permissions that are related to fintech payments worth 2% of a firm’s stock price. Additionally, we find that the passage of data protection regulations is associated with the decrease of daily active users of apps, especially for apps with higher data collection intensity. Together, these results suggest that the value of consumer data is a major component of tech firm value.

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