We study information and portfolio choices when securities' dividends depend on an aggregate (macro) risk factor and idiosyncratic (micro) shocks, and when investors can acquire costly dividend information. We establish a general result under which investors endogeneously specialize in either macro or micro information. All other information sets are suboptimal. In a specific model with this specialization, we study equilibrium information choices, and macro and micro price informativeness. Our results favor Samuelson's dictum: markets are more micro than macro efficient. Our calibrated model reproduces important features of the decomposition of stock return variability into cash flow and discount rate variances.
Glasserman, Paul, and Harry Mamaysky. "Investor Information Choice with Macro and Micro Information." Columbia Business School, September 2019.
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