Full metadata record
DC Field | Value | Language |
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dc.contributor.author | Kacperczyk, Marcin | - |
dc.contributor.author | Van Nieuwerburgh, Stijn | - |
dc.contributor.author | Veldkamp, Laura | - |
dc.date.accessioned | 2009-11-25T17:42:23Z | - |
dc.date.available | 2009-11-25T17:42:23Z | - |
dc.date.issued | 2009-11-25T17:42:23Z | - |
dc.identifier.uri | http://hdl.handle.net/2451/28347 | - |
dc.description.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 ¯nd that in recessions, funds' portfolios (1) covary more with aggregate payo®-relevant information, (2) exhibit more cross-sectional dispersion, and (3) gener- ate 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. | en |
dc.relation.ispartofseries | FIN-09-027 | - |
dc.title | Attention Allocation Over the Business Cycle | en |
dc.type | Working Paper | en |
dc.authorid-ssrn | 301912 | en |
Appears in Collections: | Finance Working Papers |
Files in This Item:
File | Description | Size | Format | |
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mfund_KVNV.pdf | 355.91 kB | Adobe PDF | View/Open |
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