| Author: | Grossman, S. |
| Title: | Presidential address: dynamic asset allocation and the informational efficiency of markets |
| Journal: | Journal of Finance
1995 : JUL, VOL. 50:3, p. 773-788 |
| Index terms: | ASSETS ALLOCATION EFFICIENCY |
| Language: | eng |
| Abstract: | Markets have an allocational role; even in the absence of news about payoffs, prices change to facilitate trade and allocate resources to their best use. Allocational price changes create noise in the signal extraction process, and markets where such trading is important are markets in which we may expect to find a failure of information efficiency. An important source of allocational trading is the use of dynamic trading strategies caused by the incomplete equitization of risks. |
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