Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information
研究了信息不对称对均衡资产定价和投资组合选择的影响，发现指数化并非最优，并提出了基于价格信息的投资组合策略，该策略在实证中优于指数。
We analyze theoretically and empirically the implications of information asymmetry for equilibrium asset pricing and portfolio choice. In our partially revealing dynamic rational expectations equilibrium, portfolio separation fails, and indexing is not optimal. We show how uninformed investors should structure their portfolios, using the information contained in prices to cope with winner's curse problems. We implement empirically this price-contingent portfolio strategy. Consistent with our theory, the strategy outperforms economically and statistically the index. While momentum can arise in the model, in the data, the momentum strategy does not outperform the price-contingent strategy, as predicted by the theory.