Investor Information Choice with Macro and Micro Information

57 Pages Posted: 29 Jun 2016 Last revised: 29 Apr 2021

See all articles by Paul Glasserman

Paul Glasserman

Columbia Business School

Harry Mamaysky

Columbia University - Columbia Business School

Date Written: April 28, 2021

Abstract

We develop a model of information and portfolio choice in which ex ante identical investors choose to specialize because of fixed attention costs required in learning about securities. Without this friction, investors would invest in all securities and would be indifferent across a wide range of information choices. When securities' dividends depend on an aggregate (macro) risk factor and an idiosyncratic (micro) shocks, fixed attention costs lead investors to specialize in either macro or micro information. With calibrated parameters, our results favor Samuelson's dictum that markets are more micro than macro efficient. We derive testable predictions from our model and find empirical support for them in specialization by U.S. equity mutual funds.

Keywords: Asset Management; Investment; Information; Asset Pricing; Attention; Mutual Funds

JEL Classification: G12; G14; G23

Suggested Citation

Glasserman, Paul and Mamaysky, Harry, Investor Information Choice with Macro and Micro Information (April 28, 2021). Columbia Business School Research Paper No. 16-45, Available at SSRN: https://ssrn.com/abstract=2801700 or http://dx.doi.org/10.2139/ssrn.2801700

Paul Glasserman

Columbia Business School ( email )

3022 Broadway
403 Uris Hall
New York, NY 10027
United States
212-854-4102 (Phone)
212-316-9180 (Fax)

Harry Mamaysky (Contact Author)

Columbia University - Columbia Business School ( email )

3022 Broadway
New York, NY 10027
United States

Do you have a job opening that you would like to promote on SSRN?

Paper statistics

Downloads
482
Abstract Views
2,625
rank
72,797
PlumX Metrics