Portfolio choice, attention allocation, and price comovement
نویسندگان
چکیده
منابع مشابه
Portfolio choice, attention allocation, and price comovement
This paper models the attention allocation of portfolio investors. Investors choose the composition of their information subject to an information flow constraint. Given their expected investment strategy in the next period, which is to hold a diversified portfolio, in equilibrium investors choose to observe one linear combination of asset payoffs as a private signal. When investors use this pr...
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Daily price limits are adopted by many securities exchanges in countries such as the USA, Canada, Japan and various other countries in Europe and Asia, in order to increase the stability of the financial market. These limits confine the price of the financial asset during all trading stages of any trading day to a range, usually determined based on the previous day’s closing price. In this pape...
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Similarly priced stocks move together. Stocks that undergo splits experience an increase in comovement with low-priced stocks and a decrease in their comovement with highpriced stocks. Price-based comovement is not explained by economic fundamentals, firm size, or changes in liquidity or information diffusion. The shift in comovement following splits is greater for large stocks, high-priced sto...
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Prior literature has documented that investor attention is associated with the pricing of stocks. We examine attention comovement, the extent to which investor attention for a firm is affected by attention paid to the industry and market in general. We find that attention comovement is positively related to comovement in firm fundamentals, and is also related to firm characteristics, such as si...
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ژورنال
عنوان ژورنال: Journal of Economic Theory
سال: 2010
ISSN: 0022-0531
DOI: 10.1016/j.jet.2010.03.001