Information Acquisition and Portfolio Performance

Research, Preprint English OPEN
GUISO, Luigi; JAPPELLI, Tullio;
(2007)
  • Publisher: European University Institute
  • Subject: behavioural finance; overconfidence; portfolio choice; rationality | E2 | Portfolio Choice, Rationality, Overconfidence, Behavioral Finance
    • jel: jel:G1 | jel:E2 | jel:D8

Rational investors perceive correctly the value of financial information. Investment in information is therefore rewarded with a higher Sharpe ratio. Overconfident investors overstate the quality of their own information, and thus attain a lower Sharpe ratio. We contras... View more
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