文献类型： 外文期刊

作者： Garleanu, Nicolae ¹ ; Panageas, Stavros ² ; Yu, Jianfeng ⁴ ;

作者机构： 1.UC Berkeley Haas, Berkeley, CA USA

2.NBER, Cambridge, MA 02138 USA

3.Univ Calif Los Angeles, Anderson Sch Management, Los Angeles, CA 90024 USA

4.Tsinghua Univ, PBC Sch Finance, Beijing, Peoples R China

期刊名称：REVIEW OF FINANCIAL STUDIES （ 影响因子：8.2； 五年影响因子：9.7 ）

ISSN： 0893-9454

年卷期： 2020 年 33 卷 6 期

页码：

收录情况： SCI

摘要： We propose a tractable model of an informationally inefficient market featuring nonrevealing prices, general preferences and payoff distributions, but not noise traders. We show the equivalence between our model and a substantially simpler one in which investors face distortionary investment taxes depending on both their identity and the asset class. This equivalence allows us to account for such phenomena as underdiversification. We further employ the model to assess approaches to performance evaluation and find that it provides a theoretical basis for some intuitive practices, such as style analysis, that have been adopted by finance professionals.