Investor attention, overconfidence and category learning

• 成果类型: Article
• 署名作者: Peng, L; Xiong, W
• 署名单位: City University of New York (CUNY) System; Baruch College (CUNY); Princeton University; Princeton University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2005.05.003
• 发表日期: 2006
• 页码: 563-602
• 关键词: limited attention; category effects; Behavioral biases; comovement; Return predictability

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. (c) 2005 Elsevier B.V. All rights reserved.