Asymmetric information and portfolio performance measurement

@inproceedings{Cornell1979AsymmetricIA,
  title={Asymmetric information and portfolio performance measurement},
  author={Bradford Cornell},
  year={1979}
}
Abstract This note argues that though Dave Mayers and Edward Rice were able to show that the CAPM could be used to detect superior investors in a world of asymmetric information, their demonstration does not resurrect the CAPM as a practical tool for performance measurement. To employ the Mayers-Rice model, an investment advisor would first have to determine that the CAPM holds for uninformed investors. As a means of avoiding the problem of testing the CAPM, a performance measure based only on… CONTINUE READING

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