Information Acquisition and Portfolio Performance

@inproceedings{Guiso2006InformationAA,
  title={Information Acquisition and Portfolio Performance},
  author={Luigi Guiso and Tullio Jappelli},
  year={2006}
}
Rational investors perceive correctly the value of …nancial information. Investment in information is therefore rewarded with a higher Sharpe ratio. Overcon…dent investors overstate the quality of their own information, and thus attain a lower Sharpe ratio. We contrast the implications of the two models using a unique survey of customers of an Italian leading bank with portfolio data and measures of …nancial information. We …nd that the portfolio Sharpe ratio is negatively associated with… CONTINUE READING