Risk-neutral investors do not acquire information

Give a risk-neutral investor the choice to acquire a costly signal prior to asset market equilibrium. She refuses to pay for the signal under general conditions. The reason is that a risk-neutral investor is indifferent between a risky asset or a safe bond in optimum and expects the same return to her portfolio ex ante, whether or not she acquires information. Risk neutrality thus implies the absence of costly information from asset price in competitive asset markets.

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Year of publication:	2008
Authors:	Muendler, Marc-Andreas
Published in:	Finance Research Letters. - Elsevier, ISSN 1544-6123. - Vol. 5.2008, 3, p. 156-161
Publisher:	Elsevier
Keywords:	Information acquisition Risk neutrality Portfolio choice

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005397382