Discussion of disclosure processing costs, investors' information choice, and equity market outcomes: A review

• 成果类型: Editorial Material
• 署名作者: Banerjee, Snehal; Breon-Drish, Bradyn; Engelberg, Joseph
• 署名单位: University of San Diego
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2020.101337
• 发表日期: 2020
• 关键词: Anomalies

摘要

In their review of investor processing costs, Blankespoor, deHaan, and Marinovic (2020) encourage researchers to consider rational inattention as a way to explain stock market underreaction to public information. We formalize their argument and propose alternatives using a set of formal models. To distinguish between the various drivers of under reaction, we encourage future researchers to consider the opportunity cost of being inattentive, the historical evolution of underreaction, and the difference between information-based and return-based underreaction. (C) 2020 Elsevier B.V. All rights reserved.