The Department of Banking and Financial Management
announces  the upcoming seminar with
Prof. Adrian Buss, INSEAD University

“Institutional Investors and Information Acquisition: Implications for Asset Prices and Informational Efficiency”

Seminar Organizers: Assist. Prof. Michail Anthropelos, Prof. George Skiadopoulos

Abstract: 

We jointly model the information choice and portfolio allocation problem of institutional investors who are concerned about their performance relative to a benchmark. Benchmarking increases an investor’s effective risk-aversion, which reduces his willingness to speculate and, consequently, his desire to acquire information. In equilibrium, an increase in the fraction of benchmarked institutional investors leads to a decline in price informativeness, which can cause a decline in the prices of all risky assets and the market portfolio. The decline in price informativeness also leads to a substantial increase in return volatilities and     allows non-benchmarked investors to substantially outperformed benchmarked investors.

Adrian Buss is an Assistant Professor of Finance at INSEAD, France. He holds a PhD in Finance from Goethe University Frankfurt (2012). His current research investigates the effects of financial frictions and financial market regulation on equity prices, prices of risk as well as real exchange rates. His work has appeared in the Journal of Finance, the Review of Financial Studies and the Journal of Monetary of Economics.