Arbeitspapier
Information quality, performance measurement, and security demand in rational expectations economies
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.
- Language
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Englisch
- Bibliographic citation
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Series: Working Paper ; No. 95-4
- Classification
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Wirtschaft
- Subject
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Rational expectations (Economic theory)
Information theory
- Event
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Geistige Schöpfung
- (who)
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Noe, Thomas H.
Ramamurtie, Buddhavarapu Sailesh
- Event
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Veröffentlichung
- (who)
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Federal Reserve Bank of Atlanta
- (where)
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Atlanta, GA
- (when)
-
1995
- Handle
- Last update
-
10.03.2025, 11:42 AM CET
Data provider
This object is provided by:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. If you have any questions about the object, please contact the data provider.
Object type
- Arbeitspapier
Associated
- Noe, Thomas H.
- Ramamurtie, Buddhavarapu Sailesh
- Federal Reserve Bank of Atlanta
Time of origin
- 1995
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