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Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency / Matthijs Breugem, Adrian Buss.
- Format:
- Book
- Author/Creator:
- Breugem, Matthijs.
- Series:
- Working Paper Series (National Bureau of Economic Research) no. w23561.
- NBER working paper series no. w23561
- Language:
- English
- Physical Description:
- 1 online resource: illustrations (black and white);
- Other Title:
- Institutional Investors and Information Acquisition
- Place of Publication:
- Cambridge, Mass. National Bureau of Economic Research 2017.
- Summary:
- 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.
- Notes:
- Print version record
- June 2017.
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