INFORMATION QUALITY, PERFORMANCE-MEASUREMENT, AND SECURITY DEMAND IN RATIONAL-EXPECTATIONS ECONOMIES

• 成果类型: Note
• 署名作者: NOE, TH; RAMAMURTIE, BS
• 署名单位: Federal Reserve System - USA; Federal Reserve Bank - Atlanta
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329249
• 发表日期: 1995
• 页码: 341-359
• 关键词: MARKET LINE; equilibrium

摘要

The relationship between asset demand and information quality in rational expectations economies is analyzed. First we derive a number of new summary descriptive statistics that measure four basic characteristics of investment style: asset selection, market timing, aggressiveness, and specialization. Then we relate these statistics to the divergence between a given investor's information structure and the market average information structure. Finally, we demonstrate that informational differentials can be identified, and consistently estimated, using ordinary least squares, from the time-series of observed asset demand.