The dissertation consists of three chapters on financial economics and digital platforms. The rapid advancement in artificial intelligence (AI) and computing power has significantly elevated the value of data, making it a critical asset for firms. In Chapter 1 and Chapter 2, I study firms' value of data and consumers' privacy preferences by analyzing the supply and demand-side reactions to the EU’s General Data Protection Regulation (GDPR). In Chapter 3, we propose a new measurement for the quantity of information available in the corporate bond market. In Chapter 1, I show that, after GDPR limits firms’ access to data, the EU sales share of US data-intensive firms declines by 8%. EU consumers, who can choose to share less data, suffer a 6% deterioration in perceived digital product quality as measured by app ratings. In Chapter 2, I develop a general equilibrium model to map these empirical findings and estimate the value of data and privacy. Privacy-conscious consumers gain from privacy protection. However, the quantitative model reveals that the digital welfare of other consumers declines because firms also use data to enhance productivity and customize digital products. In aggregate, EU digital welfare declines by 4%, and US digital welfare declines by 1.4%. In Chapter 3, we develop and deploy a new methodology to measure the information content in the corporate bond market, that accounts for the skewness of bond returns. We estimate how much information investors have about the future payoffs of the assets they invest in. We decompose the time-varying demand elasticity of bond investors into two components: information precision and state-dependent risk aversion. Our estimation uncovers a large fluctuation in the information content of the corporate bond market over time. We find that, during the 2007-2008 financial crisis, the drop in demand elasticity is driven by both an increase in effective risk aversion during bad times and a decrease in information content. In contrast, during the COVID-19 period, the decrease in demand elasticity is mostly driven by heightened effective risk aversion.