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，并证明可用最小二乘法从时间序列数据中识别信息差异。
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.