Portfolio choice, attention allocation, and price comovement

• 成果类型: Article
• 署名作者: Mondria, Jordi
• 署名单位: University of Toronto
• 刊物名称: JOURNAL OF ECONOMIC THEORY
• ISSN/ISSBN: 0022-0531
• DOI: 10.1016/j.jet.2010.03.001
• 发表日期: 2010
• 页码: 1837-1864
• 关键词: rational inattention; asset pricing; portfolio choice

摘要

This paper models the attention allocation of portfolio investors. Investors choose the composition of their information subject to an information flow constraint. Given their expected investment strategy in the next period, which is to hold a diversified portfolio, in equilibrium investors choose to observe one linear combination of asset payoffs as a private signal. When investors use this private signal to update information about two assets, changes in one asset affect both asset prices and may lead to asset price comovement. The model also has implications for the transmission of volatility shocks between two assets. (C) 2010 Elsevier Inc. All rights reserved.