Institutional Investors and Information Acquisition : Implications for Asset Prices and Informational Efficiency
Matthijs Breugem, Adrian Buss
We jointly model the information choice and portfolio allocation problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking increases an investor's effective risk-aversion, which reduces his willingness to speculate and, consequently, his desire to acquire information. In equilibrium, an increase in the fraction of benchmarked institutional investors leads to a decline in price informativeness, which can cause a decline in the prices of all risky assets and the market portfolio. The decline in price informativeness also leads to a substantial increase in return volatilities and allows non-benchmarked investors to substantially outperformed benchmarked investors
Year of publication: |
June 2017
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Authors: | Breugem, Matthijs |
Other Persons: | Buss, Adrian (contributor) |
Institutions: | National Bureau of Economic Research (contributor) |
Publisher: |
Cambridge, Mass : National Bureau of Economic Research |
Subject: | Theorie | Theory | Institutioneller Investor | Institutional investor | Portfolio-Management | Portfolio selection | Informationsverhalten | Information behaviour | Spekulation | Speculation | Volatilität | Volatility | Kapitalmarktrendite | Capital market returns |
Saved in:
freely available
Extent: | 1 Online-Ressource |
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Series: | NBER working paper series ; no. w23561 |
Type of publication: | Book / Working Paper |
Language: | English |
Notes: | Mode of access: World Wide Web System requirements: Adobe [Acrobat] Reader required for PDF files Hardcopy version available to institutional subscribers. |
Other identifiers: | 10.3386/w23561 [DOI] |
Source: | ECONIS - Online Catalogue of the ZBW |
Persistent link: https://www.econbiz.de/10012455121