Investor Information Choice with Macro and Micro Information

IF 2.2 Q2 BUSINESS, FINANCE

Review of Asset Pricing Studies Pub Date : 2022-03-11 DOI:10.1093/rapstu/raac009

Paul Glasserman, Harry Mamaysky

引用次数: 0

Abstract

We develop a model of information and portfolio choice in which ex ante identical investors choose to specialize because of fixed attention costs required in learning about securities. Without this friction, investors would invest in all securities and would be indifferent across a wide range of information choices. When securities’ dividends depend on an aggregate (macro) risk factor and idiosyncratic (micro) shocks, fixed attention costs lead investors to specialize in either macro or micro information. Our results favor Samuelson’s dictum that markets are more micro than macro efficient. We derive testable predictions from our model and find empirical support for our predictions in specialization by U.S. equity mutual funds.

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宏观和微观信息下的投资者信息选择

我们建立了一个信息和投资组合选择的模型，在这个模型中，事先相同的投资者选择专业化，因为学习证券需要固定的注意力成本。如果没有这种摩擦，投资者将投资于所有的证券，并且对广泛的信息选择漠不关心。当证券股利取决于总体(宏观)风险因素和特殊(微观)冲击时，固定的注意力成本导致投资者要么专注于宏观信息，要么专注于微观信息。我们的研究结果支持萨缪尔森的格言，即市场的微观效率高于宏观效率。我们从我们的模型中得出了可检验的预测，并在美国股票共同基金的专业化中为我们的预测找到了实证支持。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Review of Asset Pricing Studies BUSINESS, FINANCE-

CiteScore

19.80

自引率

0.80%

发文量

期刊介绍： The Review of Asset Pricing Studies (RAPS) is a journal that aims to publish high-quality research in asset pricing. It evaluates papers based on their original contribution to the understanding of asset pricing. The topics covered in RAPS include theoretical and empirical models of asset prices and returns, empirical methodology, macro-finance, financial institutions and asset prices, information and liquidity in asset markets, behavioral investment studies, asset market structure and microstructure, risk analysis, hedge funds, mutual funds, alternative investments, and other related topics. Manuscripts submitted to RAPS must be exclusive to the journal and should not have been previously published. Starting in 2020, RAPS will publish three issues per year, owing to an increasing number of high-quality submissions. The journal is indexed in EconLit, Emerging Sources Citation IndexTM, RePEc (Research Papers in Economics), and Scopus.