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Information Quality, Performance Measurement, and Security Demand in Rational Expectations Economies

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  • Noe, Thomas H
  • Ramamurtie, Buddhavarapu Sailesh

Abstract

The relationship between asset demand and information quality in rational expectations economies is analyzed. First the authors derive a number of new summary descriptive statistics that measure four basic characteristics of investment style: asset selection, market timing, aggressiveness, and specialization. Then they relate these statistics to the divergence between a given investor's information structure and the market average information structure. Finally, the authors demonstrate that informational differentials can be identified and consistently estimated, using ordinary least squares, from the time-series of observed asset demand. Copyright 1995 by American Finance Association.

Suggested Citation

  • Noe, Thomas H & Ramamurtie, Buddhavarapu Sailesh, 1995. "Information Quality, Performance Measurement, and Security Demand in Rational Expectations Economies," Journal of Finance, American Finance Association, vol. 50(1), pages 341-359, March.
    • Handle: RePEc:bla:jfinan:v:50:y:1995:i:1:p:341-59
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