全球智库信息集成服务系统(G2TT): Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w23561
来源ID	Working Paper 23561
	Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency
	Matthijs Breugem; Adrian Buss
发表日期	2017-07-10
出版年	2017
语种	英语
摘要	We jointly model the information choice and portfolio allocation problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking increases an investor's effective risk-aversion, which reduces his willingness to speculate and, consequently, his desire to acquire information. In equilibrium, an increase in the fraction of benchmarked institutional investors leads to a decline in price informativeness, which can cause a decline in the prices of all risky assets and the market portfolio. The decline in price informativeness also leads to a substantial increase in return volatilities and allows non-benchmarked investors to substantially outperformed benchmarked investors.
主题	Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Financial Institutions
URL	https://www.nber.org/papers/w23561
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/581235
推荐引用方式 GB/T 7714	Matthijs Breugem,Adrian Buss. Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency. 2017.

条目包含的文件
文件名称/大小	资源类型	版本类型	开放类型	使用许可
w23561.pdf（757KB）	智库出版物		限制开放	CC BY-NC-SA	浏览