资源描述：
《investor attention, overconfidence and category learning》由会员上传分享，免费在线阅读，更多相关内容在工程资料-天天文库。
1、ARTICLEINPRESSJournalofFinancialEconomics80(2006)563–602www.elsevier.com/locate/jfecInvestorattention,overconfidence$andcategorylearninga,b,cLinPeng,WeiXiongaDepartmentofEconomicsandFinance,ZicklinSchoolofBusiness,BaruchCollege,CityUniversityofNewYork,NewYork,NY10010,USAbDepa
2、rtmentofEconomicsandBendheimCenterforFinance,PrincetonUniversity,Princeton,NY08540,USAcNationalBureauofEconomicResearch,Cambridge,MA02138,USAReceived19November2004;receivedinrevisedform5April2005;accepted9May2005Availableonline4January2006AbstractMotivatedbypsychologicalevide
3、ncethatattentionisascarcecognitiveresource,wemodelinvestors’attentionallocationinlearningandstudytheeffectsofthisonasset-pricedynamics.Weshowthatlimitedinvestorattentionleadstocategory-learningbehavior,i.e.,investorstendtoprocessmoremarketandsector-wideinformationthanfirm-spec
4、ificinformation.Thisendogenousstructureofinformation,whencombinedwithinvestoroverconfidence,generatesimportantfeaturesobservedinreturncomovementthatareotherwisedifficulttoexplainwithstandardrationalexpectationsmodels.Ourmodelalsodemonstratesnewcross-sectionalimplicationsforretur
5、npredictability.r2005ElsevierB.V.Allrightsreserved.JELclassification:G12;G14Keywords:Limitedattention;Categoryeffects;Behavioralbiases;Comovement;Returnpredictability$WearegratefultoNickBarberis,PatrickBolton,MarkusBrunnermeier,DavidHirshleifer,HarrisonHong,MingHuang,JoseSchei
6、nkman,AndreiShleifer,ChrisSims,JiangWang,andespeciallyananonymousreferee,aswellastheparticipantsofseveralconferencesandworkshops,forhelpfuldiscussionandcomments.LinPengalsothanksthefinancialsupportfromEugeneLangJuniorFacultyResearchFellowshipandPSC-CUNYResearchAward.Correspon
7、dingauthor.E-mailaddress:lin_peng@baruch.cuny.edu(L.Peng).0304-405X/$-seefrontmatterr2005ElsevierB.V.Allrightsreserved.doi:10.1016/j.jfineco.2005.05.003ARTICLEINPRESS564L.Peng,W.Xiong/JournalofFinancialEconomics80(2006)563–6021.IntroductionStandardasset-pricingmodelsaretypical
8、lybasedontheassumptionthatmarketsdistillnewinformationwithlightnings
