Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency

• 成果类型: Article
• 署名作者: Breugem, Matthijs; Buss, Adrian
• 署名单位: Collegio Carlo Alberto; INSEAD Business School; Centre for Economic Policy Research - UK
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy103
• 发表日期: 2019
• 页码: 2260
• 关键词: PRESIDENTIAL-ADDRESS; Mutual funds; WEALTH

摘要

We study the joint portfolio and information choice problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking influences information choices through two distinct economic mechanisms. First, benchmarking reduces the number of shares in investors' portfolios that are sensitive to information. Hence, the value of private information declines. Second, benchmarking limits investors' willingness to speculate. This not only reduces the value of private information but also adversely affects information aggregation. In equilibrium, investors acquire less information and informational efficiency declines. As a result, return volatility increases, and less-benchmarked institutional investors outperform more-benchmarked ones.