Please use this identifier to cite or link to this item: https://hdl.handle.net/10419/100905 
Year of Publication: 
1995
Series/Report no.: 
Working Paper No. 95-4
Publisher: 
Federal Reserve Bank of Atlanta, Atlanta, GA
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.
Subjects: 
Rational expectations (Economic theory)
Information theory
Document Type: 
Working Paper

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