Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency
研究了关注相对业绩基准的机构投资者如何同时选择投资组合和信息获取，发现基准化降低了私有信息价值，导致信息获取减少、信息效率下降、回报波动性增加，且基准化程度低的机构投资者表现更好。
We study the joint portfolio and information choice problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking influences information choices through two distinct economic mechanisms. First, benchmarking reduces the number of shares in investors’ portfolios that are sensitive to information. Hence, the value of private information declines. Second, benchmarking limits investors’ willingness to speculate. This not only reduces the value of private information but also adversely affects information aggregation. In equilibrium, investors acquire less information and informational efficiency declines. As a result, return volatility increases, and less-benchmarked institutional investors outperform more-benchmarked ones. Received May 31, 2017; editorial decision July 4, 2018 by Editor Stijn Van Nieuwerburgh. Authors have furnished supplementary code, which is available on the Oxford University Press Web site next to the link to the final published paper online.