Rational investors perceive correctly the value of financial information. Investment in information is therefore associated with a higher expected portfolio return and Sharpe ratio. Overconfident investo rs overstate the quality of their own information, and thus investment in information is associated with a lower expected Sharpe ratio despite they realize higher average returns. We contrast the implications of these two models using two unique surveys of customers of a leading Italian bank with portfolio data and measures of financial information. We find that the investment in information is positively associated with returns to financial wealth and negatively to Sharpe ratio. The latter falls with proxies for overconfidence. We relate these findings to the wealth inequality debate.

中文翻译：

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对财务信息和投资组合业绩的投资

理性投资者正确认识财务信息的价值。因此，信息投资与更高的预期投资组合回报和夏普比率相关。过度自信的投资者夸大了他们自己信息的质量，因此尽管他们实现了更高的平均回报，但信息投资与较低的预期夏普比率有关。我们使用对一家领先的意大利银行的客户进行的两项独特调查以及投资组合数据和财务信息度量来对比这两种模型的含义。我们发现信息投资与金融财富回报呈正相关，与夏普比率呈负相关。后者是过度自信的代名词。我们将这些发现与财富不平等的辩论联系起来。