| 来源类型 | Working Paper |
| 规范类型 | 报告 |
| DOI | 10.3386/w24143 |
| 来源ID | Working 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 |
| URL | https://www.nber.org/papers/w24143 |
| 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/581817 |
| 推荐引用方式 GB/T 7714 | David Hirshleifer,Chong Huang,Siew Hong Teoh. Index Investing and Asset Pricing under Information Asymmetry and Ambiguity Aversion. 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 | ||
| w24143.pdf（337KB） | 智库出版物 | 限制开放 | CC BY-NC-SA | 浏览 | ||
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