Informaciona asimetrija i rizik portfolia individualnog investitora
Information asymmetry and individual investors risk portfolio
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Abstract: Building sophisticated, open and competitive market adapted financial system of a national economy is undoubtedly the most important prerequisite for creating efficient capital allocation at all levels. Only under such conditions, the capital would flow towards secure and/or more profitable investment, i.e. where it is more usable and can produce more and retreat from economic segments where it loses or does not receive much. Because of the level of (un)development, developing markets are facing numerous risks. Namely, the integration of countries having developing markets brings new kinds of risk into international developments and increases dependence on changes appearing in the environment. The development of the financial system in Serbia has been caused by the privatization process since 2000. In this period a new regulation has been adopted that has institutionalize the financial system in compliance with European and world financial systems. However, regardless of the ...institutional basis and rapid development, the financial system of Serbia was still bank-centered. The fact is that in building portfolio structures it is not possible to disregard investors’ aims and preferences that directly or indirectly have an impact on: development degree and data base reliability, knowledge of statistical techniques, computer and telecommunication technology. In other words, in business contacts the relevant information and the rapidity of finding them are of outmost importance for making high quality decisions, i.e. information becomes an input in decision-making process and as such has its price. The practice reveals that in real economic transactions market participants are not only fully informed but the information they have is asymmetrically arranged. Namely, one side that participates in transactions has a better insight in to the facts on a variable that is important for contract-business involving other side. This resulted in the concept of adapted expectations according to which the expectation for the next period is adapted in compliance with divergence (error) of previous expectation from the previous process realization, by means of the adaptability coefficient. The validity of each econometric analysis is conditioned by availability and reliability of data it is based on. In practice the most used data are those involving financial series and financial statements of an enterprise. The characteristics of time series are the following: unstable autocorrelation, “fat tails”, asymmetry, aggregate normality of arrangement of financial instrument yield, existence of alternating of yield volatility in any time horizon, leverage effect, correlation of intensity, trade and volatility volume. On the other side, although financial statements in essence show the state of financial position and success of an enterprise’s business, their usability value for making decisions on investment is limited. In order to avoid the adverse mechanism of spontaneous adaptability in the market with asymmetric information it is necessary to know market signalizing and market screening.
Faculty:University of Niš, Faculty of Economy
Keywords:Informaciona asimetrija / information / quality / asymmetric information / risk / hazard / principalagent problems / management / markets / time series / investor / portfolio / evaluating portfolio performance / cost of capital / monitoring / rebalancing / yield / expected benefit / Investitor / informacija / kvalitet / rizik / hazard / problem principal-agent / upravljanje / tržište / vremenske serije / portfolio / vrednovanje portfolio performansi / troškovi kapitala / monitoring / rebalansiranje / prinos / očekivana korist.
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