Investor timing behavior under imperfect timing information in the factor model
Autor(a) principal: | |
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Data de Publicação: | 1998 |
Outros Autores: | |
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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RAC. Revista de Administração Contemporânea (Online) |
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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 |
_version_ |
1754209049418661888 |