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

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Author Info
Thomas H. Noe
Buddhavarapu Sailesh Ramamurtie

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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.

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Publisher Info
Paper provided by Federal Reserve Bank of Atlanta in its series Working Paper with number 95-4.

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Date of creation: 1995
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Publication status: Published in Journal of Finance, 50, no. 1 (March 1995) : 341-359
Handle: RePEc:fip:fedawp:95-4

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Related research
Keywords: Rational expectations (Economic theory) ; Information theory;

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References listed on IDEAS
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
  1. Dybvig, Philip H & Ross, Stephen A, 1985. " The Analytics of Performance Measurement Using a Security Market Line," Journal of Finance, American Finance Association, vol. 40(2), pages 401-16, June. [Downloadable!] (restricted)
  2. Admati, Anat R & Ross, Stephen A, 1985. "Measuring Investment Performance in a Rational Expectations Equilibrium Model," Journal of Business, University of Chicago Press, vol. 58(1), pages 1-26, January. [Downloadable!] (restricted)
  3. Admati, Anat R, 1985. "A Noisy Rational Expectations Equilibrium for Multi-asset Securities Markets," Econometrica, Econometric Society, vol. 53(3), pages 629-57, May. [Downloadable!] (restricted)
  4. Admati, Anat R, et al, 1986. " On Timing and Selectivity," Journal of Finance, American Finance Association, vol. 41(3), pages 715-30, July. [Downloadable!] (restricted)
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