Information Quality, Performance Measurement, and Security Demand in Rational Expectations Economies
分析了理性预期经济中资产需求与信息质量的关系，推导出衡量投资风格的新统计量，并证明信息差异可通过普通最小二乘法从资产需求时间序列中识别和估计。
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 ordinary least squares, from the time‐series of observed asset demand.