Asset market equilibrium under rational inattention

We propose a noisy rational expectations equilibrium model of asset markets with rationally inattentive investors. incorporate any finite number assets arbitrary correlation. also do not restrict the signal form and show that investors optimally choose single signal, which is linear combination all risky assets. This generates comovement prices contagion shocks, even when payoffs are negatively correlated. The provides testable predictions impact risk aversion, aggregate risk, information capacity on security market line, portfolio dispersion, abnormal return.