Information Acquisition and Under-Diversification

• 成果类型: Article
• 署名作者: Van Nieuwerburgh, Stijn; Veldkamp, Laura
• 署名单位: New York University; National Bureau of Economic Research
• 刊物名称: REVIEW OF ECONOMIC STUDIES
• ISSN/ISSBN: 0034-6527
• DOI: 10.1111/j.1467-937X.2009.00583.x
• 发表日期: 2010
• 页码: 779-805
• 关键词: asset prices; equilibrium; MODEL; consumption; RESOLUTION; capacity; returns

摘要

If an investor wants to form a portfolio of risky assets and can exert effort to collect information on the future value of these assets before he invests, which assets should he learn about? The best assets to acquire information about are ones the investor expects to hold. But the assets the investor holds depend on the information he observes. We build a framework to solve jointly for investment and information choices, with general preferences and information cost functions. Although the optimal research strategies depend on preferences and costs, the main result is that the investor who can first collect information systematically deviates from holding a diversified portfolio. Information acquisition can rationalize investing in a diversified fund and a concentrated set of assets, an allocation often observed, but usually deemed anomalous.