Investor timing behavior under imperfect timing information in the factor model

Detalhes bibliográficos
Autor(a) principal: Howell,Sydney D.
Data de Publicação: 1998
Outros Autores: Armada,Manuel José da Rocha
Tipo de documento: Artigo
Idioma: eng
Título da fonte: RAC. Revista de Administração Contemporânea (Online)
Texto Completo: http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1415-65551998000200002
Resumo: We generalize a model of timing behavior in the factor model, developed by Admati et al. (1986) and show that, in the generalized model, some universal statements made by these authors no longer hold. The more generalized model contains, as special cases, the original model and an efficient market model. Its most general case is probably more empirically realistic than either special case. Some important causes and consequences of information asymmetry are not, however, addressed by either the original or the generalized model.
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spelling Investor timing behavior under imperfect timing information in the factor modeltiming; selectivityportfolio managementperformance evaluationWe generalize a model of timing behavior in the factor model, developed by Admati et al. (1986) and show that, in the generalized model, some universal statements made by these authors no longer hold. The more generalized model contains, as special cases, the original model and an efficient market model. Its most general case is probably more empirically realistic than either special case. Some important causes and consequences of information asymmetry are not, however, addressed by either the original or the generalized model.Associação Nacional de Pós-Graduação e Pesquisa em Administração1998-08-01info:eu-repo/semantics/articleinfo:eu-repo/semantics/publishedVersiontext/htmlhttp://old.scielo.br/scielo.php?script=sci_arttext&pid=S1415-65551998000200002Revista de Administração Contemporânea v.2 n.2 1998reponame:RAC. Revista de Administração Contemporânea (Online)instname:Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)instacron:ANPAD10.1590/S1415-65551998000200002info:eu-repo/semantics/openAccessHowell,Sydney D.Armada,Manuel José da Rochaeng2009-04-23T00:00:00Zoai:scielo:S1415-65551998000200002Revistahttps://rac.anpad.org.br/index.php/racONGhttps://rac.anpad.org.br/index.php/rac/oairac@anpad.org.br1982-78491415-6555opendoar:2009-04-23T00:00RAC. Revista de Administração Contemporânea (Online) - Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)false
dc.title.none.fl_str_mv Investor timing behavior under imperfect timing information in the factor model
title Investor timing behavior under imperfect timing information in the factor model
spellingShingle Investor timing behavior under imperfect timing information in the factor model
Howell,Sydney D.
timing; selectivity
portfolio management
performance evaluation
title_short Investor timing behavior under imperfect timing information in the factor model
title_full Investor timing behavior under imperfect timing information in the factor model
title_fullStr Investor timing behavior under imperfect timing information in the factor model
title_full_unstemmed Investor timing behavior under imperfect timing information in the factor model
title_sort Investor timing behavior under imperfect timing information in the factor model
author Howell,Sydney D.
author_facet Howell,Sydney D.
Armada,Manuel José da Rocha
author_role author
author2 Armada,Manuel José da Rocha
author2_role author
dc.contributor.author.fl_str_mv Howell,Sydney D.
Armada,Manuel José da Rocha
dc.subject.por.fl_str_mv timing; selectivity
portfolio management
performance evaluation
topic timing; selectivity
portfolio management
performance evaluation
description We generalize a model of timing behavior in the factor model, developed by Admati et al. (1986) and show that, in the generalized model, some universal statements made by these authors no longer hold. The more generalized model contains, as special cases, the original model and an efficient market model. Its most general case is probably more empirically realistic than either special case. Some important causes and consequences of information asymmetry are not, however, addressed by either the original or the generalized model.
publishDate 1998
dc.date.none.fl_str_mv 1998-08-01
dc.type.driver.fl_str_mv info:eu-repo/semantics/article
dc.type.status.fl_str_mv info:eu-repo/semantics/publishedVersion
format article
status_str publishedVersion
dc.identifier.uri.fl_str_mv http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1415-65551998000200002
url http://old.scielo.br/scielo.php?script=sci_arttext&pid=S1415-65551998000200002
dc.language.iso.fl_str_mv eng
language eng
dc.relation.none.fl_str_mv 10.1590/S1415-65551998000200002
dc.rights.driver.fl_str_mv info:eu-repo/semantics/openAccess
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv text/html
dc.publisher.none.fl_str_mv Associação Nacional de Pós-Graduação e Pesquisa em Administração
publisher.none.fl_str_mv Associação Nacional de Pós-Graduação e Pesquisa em Administração
dc.source.none.fl_str_mv Revista de Administração Contemporânea v.2 n.2 1998
reponame:RAC. Revista de Administração Contemporânea (Online)
instname:Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
instacron:ANPAD
instname_str Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
instacron_str ANPAD
institution ANPAD
reponame_str RAC. Revista de Administração Contemporânea (Online)
collection RAC. Revista de Administração Contemporânea (Online)
repository.name.fl_str_mv RAC. Revista de Administração Contemporânea (Online) - Associação Nacional de Pós-Graduação e Pesquisa em Administração (ANPAD)
repository.mail.fl_str_mv rac@anpad.org.br
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