G2TT
来源类型Working Paper
规范类型报告
DOI10.3386/w24143
来源IDWorking Paper 24143
Index Investing and Asset Pricing under Information Asymmetry and Ambiguity Aversion
David Hirshleifer; Chong Huang; Siew Hong Teoh
发表日期2017-12-25
出版年2017
语种英语
摘要In a setting with information asymmetry and a tradable value-weighted market index, ambiguity averse investors hold undiversified portfolios, and assets have nonzero alphas. But when a passive fund offers the risk-adjusted market portfolio (RAMP), whose weights depend on information precisions as well as market values, all investors hold the same portfolios as in the economy without model uncertainty and thus engage in index investing. So RAMP improves participation and risk sharing. Asset alphas are zero with RAMP as pricing portfolio. RAMP can be implemented by a fund of funds even if no manager individually has sufficient knowledge to do so.
主题International Economics ; International Finance ; Financial Economics ; Portfolio Selection and Asset Pricing ; Financial Markets ; Behavioral Finance
URLhttps://www.nber.org/papers/w24143
来源智库National Bureau of Economic Research (United States)
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条目标识符http://119.78.100.153/handle/2XGU8XDN/581817
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David Hirshleifer,Chong Huang,Siew Hong Teoh. Index Investing and Asset Pricing under Information Asymmetry and Ambiguity Aversion. 2017.
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