Investor Attention and Stock Market Volatility
成果类型：
Article
署名作者：
Andrei, Daniel; Hasler, Michael
署名单位：
University of California System; University of California Los Angeles; University of Toronto
刊物名称：
REVIEW OF FINANCIAL STUDIES
ISSN/ISSBN：
0893-9454
DOI：
10.1093/rfs/hhu059
发表日期：
2015
页码：
33
关键词：
portfolio choice
long-run
information quality
asset prices
good times
RISK
uncertainty
Inattention
consumption
returns
摘要：
We investigate, in a theoretical framework, the joint role played by investors' attention to news and learning uncertainty in determining asset prices. The model provides two main predictions. First, stock return variance and risk premia increase with both attention and uncertainty. Second, this increasing relationship is quadratic. We empirically test these two predictions, and we show that the data lend support to the increasing relationship. The evidence for a quadratic relationship is mixed. Overall, our study shows theoretically and empirically that both attention and uncertainty are key determinants of asset prices.
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