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

Thomas Noe () and Buddhavarapu Sailesh Ramamurtie

Journal of Finance, 1995, vol. 50, issue 1, 341-59

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.

Date: 1995
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