Repository logo

Infoscience

  • English
  • French
Log In
Logo EPFL, École polytechnique fédérale de Lausanne

Infoscience

  • English
  • French
Log In
  1. Home
  2. Academic and Research Output
  3. Journal articles
  4. Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information
 
research article

Equilibrium Asset Pricing and Portfolio Choice Under Asymmetric Information

Biais, Bruno
•
Bossaerts, Peter  
•
Spatt, Chester
2010
Review Of Financial Studies

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. (JEL G11, G12, G14, D53)

  • Details
  • Metrics
Type
research article
DOI
10.1093/rfs/hhp113
Web of Science ID

WOS:000276553800006

Author(s)
Biais, Bruno
Bossaerts, Peter  
Spatt, Chester
Date Issued

2010

Published in
Review Of Financial Studies
Volume

23

Start page

1503

End page

1543

Subjects

Stock Returns

•

Markets

•

Aggregation

•

Prices

•

Model

•

Predictability

•

Volatility

•

Economy

•

Asset pricing theory

Editorial or Peer reviewed

REVIEWED

Written at

EPFL

EPFL units
SFI-PB  
Available on Infoscience
December 16, 2011
Use this identifier to reference this record
https://infoscience.epfl.ch/handle/20.500.14299/75604
Logo EPFL, École polytechnique fédérale de Lausanne
  • Contact
  • infoscience@epfl.ch

  • Follow us on Facebook
  • Follow us on Instagram
  • Follow us on LinkedIn
  • Follow us on X
  • Follow us on Youtube
AccessibilityLegal noticePrivacy policyCookie settingsEnd User AgreementGet helpFeedback

Infoscience is a service managed and provided by the Library and IT Services of EPFL. © EPFL, tous droits réservés