Information quality, performance measurement, and security demand in rational expectations economies

Noe, Thomas and Ramamurtie, Buddhavarapu Sailesh (1995) Information quality, performance measurement, and security demand in rational expectations economies. The Journal of Finance, 50 (1). pp. 341-361.

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Abstract

The relationship between asset demand and information quality in rational expectations economies is analyzed. First we derive a number of new summary descriptive statistics that measure four basic characteristics of investment style: asset selection, market timing, aggressiveness, and specialization. Then we relate these statistics to the divergence between a given investor's information structure and the market average information structure. Finally, we demonstrate that informational differentials can be identified, and consistently estimated, using OLS from the time series of observed asset demand.

Item Type: Article
Keywords: Assets; Estimation theory; Time series analysis; Information asymmetry; Investment analysis; Market timing; finance
Subject(s): Finance
Date Deposited: 11 Feb 2012 17:14
Last Modified: 02 Mar 2017 11:00
Funders: N/A
URI: http://eureka.sbs.ox.ac.uk/id/eprint/1142

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