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

Federal Reserve Bank of Atlanta Working Paper No. 95-4

Posted: 13 Nov 1996

See all articles by Buddhavarapu Sailesh Ramamurtie

Buddhavarapu Sailesh Ramamurtie

Independent

Thomas H. Noe

University of Oxford - Said Business School; University of Oxford - Balliol College; Bank of Finland; European Corporate Governance Institute

Date Written: Undated

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.

JEL Classification: D82

Suggested Citation

Ramamurtie, Buddhavarapu Sailesh and Noe, Thomas H., Information Quality, Performance Measurement, and Security Demand in Rational Expectations Economies (Undated). Federal Reserve Bank of Atlanta Working Paper No. 95-4, Available at SSRN: https://ssrn.com/abstract=3910

Thomas H. Noe (Contact Author)

University of Oxford - Said Business School ( email )

Park End Street
Oxford, OX1 3BJ
United Kingdom

University of Oxford - Balliol College ( email )

Broad St
Oxford, OX1 3BJ
United Kingdom

Bank of Finland ( email )

P.O. Box 160
FIN-00101 Helsinki
Finland

European Corporate Governance Institute ( email )

c/o the Royal Academies of Belgium
Rue Ducale 1 Hertogsstraat
1000 Brussels
Belgium

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