| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP5922 |
| DP5922 Imposed Institutions and Preferences for Redistribution | |
| Mark Gradstein; Alberto Chong | |
| 发表日期 | 2006-10-29 |
| 出版年 | 2006 |
| 语种 | 英语 |
| 摘要 | Rational investors perceive correctly the value of financial information. Investment in information is therefore rewarded with a higher Sharpe ratio. Overconfident investors overstate the quality of their own information, and thus attain a lower Sharpe ratio. We contrast the implications of the two models using a unique survey of customers of an Italian leading bank with portfolio data and measures of financial information. We find that the portfolio Sharpe ratio is negatively associated with investment in information. The negative correlation is stronger for men than women and for those who claim they know stocks well, arguably because these investors are more likely to be overconfident. We also show that investment in information is associated with more frequent trading, less delegation of portfolio decisions and less diversified portfolios. In each case, the effect of information is stronger for investors who, a priori, are suspected to be more overconfident. |
| 主题 | Financial Economics |
| 关键词 | Portfolio choice Rationality Overconfidence Behavioural finance |
| URL | https://cepr.org/publications/dp5922 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/534754 |
| 推荐引用方式 GB/T 7714 | Mark Gradstein,Alberto Chong. DP5922 Imposed Institutions and Preferences for Redistribution. 2006. |
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