Investor Information Choice with Macro and Micro Information

63 Pages Posted: 29 Jun 2016 Last revised: 28 Dec 2019

See all articles by Paul Glasserman

Paul Glasserman

Columbia Business School

Harry Mamaysky

Columbia University - Columbia Business School

Date Written: December 27, 2019

Abstract

We study information and portfolio choices when securities' dividends depend on an aggregate (macro) risk factor and idiosyncratic (micro) shocks, and when investors can acquire costly dividend information. We establish a general result under which investors endogeneously specialize in either macro or micro information. All other information sets are suboptimal. In a specific model with this specialization, we study equilibrium information choices, and macro and micro price informativeness. Our results favor Samuelson's dictum: markets are more micro than macro efficient. Our calibrated model reproduces important features of the decomposition of stock return variability into cash flow and discount rate variances.

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

JEL Classification: G12; G14

Suggested Citation

Glasserman, Paul and Mamaysky, Harry, Investor Information Choice with Macro and Micro Information (December 27, 2019). 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

Register to save articles to
your library

Register

Paper statistics

Downloads
366
Abstract Views
1,894
rank
83,313
PlumX Metrics