全球智库信息集成服务系统(G2TT): Investor Attention: Overconfidence and Category Learning

G2TT

来源类型	Working Paper
规范类型	报告
DOI	10.3386/w11400
来源ID	Working Paper 11400
	Investor Attention: Overconfidence and Category Learning
	Lin Peng; Wei Xiong
发表日期	2005-06-13
出版年	2005
语种	英语
摘要	Motivated by psychological evidence that attention is a scarce cognitive resource, we model investors' attention allocation in learning and study the effects of this on asset-price dynamics. We show that limited investor attention leads to ``category-learning" behavior, i.e., investors tend to process more market and sector-wide information than firm-specific information. This endogenous structure of information, when combined with investor overconfidence, generates important features observed in return comovement that are otherwise difficult to explain with standard rational expectations models. Our model also demonstrates new cross-sectional implications for return predictability.
主题	Financial Economics ; Financial Markets
URL	https://www.nber.org/papers/w11400
来源智库	National Bureau of Economic Research (United States)
引用统计
资源类型	智库出版物
条目标识符	http://119.78.100.153/handle/2XGU8XDN/569041
推荐引用方式 GB/T 7714	Lin Peng,Wei Xiong. Investor Attention: Overconfidence and Category Learning. 2005.