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dc.contributor.authorKacperczyk, Marcin-
dc.contributor.authorVan Nieuwerburgh, Stijn-
dc.contributor.authorVeldkamp, Laura-
dc.date.accessioned2009-11-25T17:42:23Z-
dc.date.available2009-11-25T17:42:23Z-
dc.date.issued2009-11-25T17:42:23Z-
dc.identifier.urihttp://hdl.handle.net/2451/28347-
dc.description.abstractThe 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.ispartofseriesFIN-09-027-
dc.titleAttention Allocation Over the Business Cycleen
dc.typeWorking Paperen
dc.authorid-ssrn301912en
Appears in Collections:Finance Working Papers

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