| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP12900 |
| DP12900 Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency | |
| Matthijs Breugem; Adrian Buss | |
| 发表日期 | 2018-04-30 |
| 出版年 | 2018 |
| 语种 | 英语 |
| 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 private information. Second, benchmarking limits investors' willingness to speculate. Both effects imply a decline in the value of private information. Hence, in equilibrium, investors acquire less information and informational efficiency declines. As a result, return volatility increases and benchmarking can cause a decline in equilibrium stock prices. Moreover, less-benchmarked institutional investors outperform more-benchmarked ones. |
| 主题 | Financial Economics |
| 关键词 | Benchmarking Institutional investors Informational efficiency Asset allocation Asset pricing |
| URL | https://cepr.org/publications/dp12900 |
| 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/541711 |
| 推荐引用方式 GB/T 7714 | Matthijs Breugem,Adrian Buss. DP12900 Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency. 2018. |
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