Neil Irwin has an interesting discussion of a new practice by which some private data gathering outfits sell early access to the releases of their data at a premium. The idea is that a small number of people will have access to the new information ahead of the market.
Irwin raises several issues about this practice, but misses an important one: economic efficiency. From an economic standpoint we would like as few resources as possible to be devoted to the process of collecting and disseminating information.
This means for example, that if we can have 2000 people involved in the process of collecting data on employment, wages, prices and output and disseminating this information to the rest of us, we are much richer collectively than if we have 2 million people involved in this process (including the running of financial markets). In the former case, the other 1,998,000 people would be able to spend their time providing the rest of us with health care, housing, education, or other goods and services of value.
However if we deliberately create a situation where there are large amounts of money to be made by getting early access to data then we will almost certainly be pulling more people into this process of collecting and disseminating information. To be concrete, if people think that they can make millions or billions of dollars by beating the crowd to information then many people will devote great effort to beating the crowd to information.
This is pure rent-seeking in that their behavior offers no benefit to the economy. It will not make the economy more efficient if the price of a specific stock or other financial assets adjust 1 second more quickly to new information, however it can make particular individuals very rich.
In principle we want to set rules for the market so that people have incentive to engage in behavior that increases the wealth of society for example by inventing more efficient cars or developing better drugs. We don't want the incentives to drive them toward rent-seeking behavior that offers no social benefit. Opportunities to get market moving data ahead of others will undoubtedly encourage more rent-seeking behavior. This is a loss to the economy and society.