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Attention allocation over the business cycle

Author: Marcin Kacperczyk; Stijn van Nieuwerburgh; Laura Veldkamp; National Bureau of Economic Research.
Publisher: Cambridge, Mass. : National Bureau of Economic Research, ©2009.
Series: Working paper series (National Bureau of Economic Research), no. 15450.
Edition/Format:   eBook : Document : EnglishView all editions and formats
Summary:
The invisibility of information precludes a direct test of attention allocation theories. To surmount this obstacle, we develop a model that uses an observable variable -- the state of the business cycle -- to predict attention allocation. Attention allocation, in turn, predicts aggregate investment patterns. Because the theory begins and ends with observable variables, it becomes testable. We apply our theory to a  Read more...
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Material Type: Document, Internet resource
Document Type: Internet Resource, Computer File
All Authors / Contributors: Marcin Kacperczyk; Stijn van Nieuwerburgh; Laura Veldkamp; National Bureau of Economic Research.
OCLC Number: 459794571
Description: 1 online resource (43 pages) : illustrations, digital.
Series Title: Working paper series (National Bureau of Economic Research), no. 15450.
Responsibility: Marcin Kacperczyk, Stijn Van Nieuwerburgh, Laura Veldkamp.

Abstract:

The invisibility of information precludes a direct test of attention allocation theories. To surmount this obstacle, we develop a model that uses an observable variable -- the state of the business cycle -- to predict attention allocation. Attention allocation, in turn, predicts aggregate investment patterns. Because the theory begins and ends with observable variables, it becomes testable. We apply our theory to a large information-based industry, actively managed equity mutual funds, and study its investment choices and returns. Consistent with the theory, which predicts cyclical changes in attention allocation, we find that in recessions, funds' portfolios (1) covary more with aggregate payoff-relevant information, (2) exhibit more cross-sectional dispersion, and (3) generate higher returns. The results suggest that some, but not all, fund managers process information in a value-maximizing way for their clients and that these skilled managers outperform others.

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