WORKING PAPERS SERIES WP00-06
Valuing Information Using Utility Functions Soosung Hwang and Steve Satchell
Valuing Information Using Utility Functions: How Much Should We Pay for Linear Factor Models? !""#$%& '()%&1
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! Corresponding
A uthor. Faculty of F inance, Cass Business School, 106 Bunhill Row,
London, E C1Y 8 T Z, U K . Tel: 44 (0)20 7040 0109. Fax: 44 (0)20 7040 8881. Email:
[email protected]. T he authors thank K . French for helpful comments and allowing us to use the Fama- French factor data.
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