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A Rational Theory of Mutual Funds' Attention Allocation

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Cited by:

  1. Bayona, Anna & Brandts, Jordi & Vives, Xavier, 2020. "Information frictions and market power: A laboratory study," Games and Economic Behavior, Elsevier, vol. 122(C), pages 354-369.
  2. Han, Leyla Jianyu & Kasa, Kenneth & Luo, Yulei, 2024. "Ambiguity, information processing, and financial intermediation," Journal of Economic Theory, Elsevier, vol. 222(C).
  3. Bolton, Patrick & Kacperczyk, Marcin, 2021. "Do investors care about carbon risk?," Journal of Financial Economics, Elsevier, vol. 142(2), pages 517-549.
  4. Hyder Ali & Salma Naz, 2025. "Forecasting Equity Premium in the Face of Climate Policy Uncertainty," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 44(2), pages 513-546, March.
  5. Li, Zhuo & Wen, Fenghua & Huang, Zhijian James, 2023. "Asymmetric response to earnings news across different sentiment states: The role of cognitive dissonance," Journal of Corporate Finance, Elsevier, vol. 78(C).
  6. Gaglianone, Wagner Piazza & Giacomini, Raffaella & Issler, João Victor & Skreta, Vasiliki, 2022. "Incentive-driven inattention," Journal of Econometrics, Elsevier, vol. 231(1), pages 188-212.
  7. Alexander Eisele & Tamara Nefedova & Gianpaolo Parise, 2015. "Are Star Funds Really Shining? Cross-trading And Performance Shifting In Mutual Fund Families," Post-Print hal-01458357, HAL.
  8. Cao, Ying & von Reibnitz, Anna & Warren, Geoffrey J., 2020. "Return dispersion and fund performance: Australia – The land of opportunity?," Pacific-Basin Finance Journal, Elsevier, vol. 60(C).
  9. Kevin Spiritus & Robin Boadway, 2017. "The Optimal Taxation of Risky Capital Income: The Rate of Return Allowance," Working Papers of Department of Economics, Leuven 573073, KU Leuven, Faculty of Economics and Business (FEB), Department of Economics, Leuven.
  10. Ma, Feng & Lu, Xinjie & Liu, Jia & Huang, Dengshi, 2022. "Macroeconomic attention and stock market return predictability," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 79(C).
  11. Corgnet, Brice & DeSantis, Mark & Porter, David, 2020. "The distribution of information and the price efficiency of markets," Journal of Economic Dynamics and Control, Elsevier, vol. 110(C).
  12. Dierick, Nicolas & Heyman, Dries & Inghelbrecht, Koen & Stieperaere, Hannes, 2019. "Financial attention and the disposition effect," Journal of Economic Behavior & Organization, Elsevier, vol. 163(C), pages 190-217.
  13. Kondor, Péter & Zawadowski, Adam, 2019. "Learning in crowded markets," Journal of Economic Theory, Elsevier, vol. 184(C).
  14. Pástor, Ľuboš & Stambaugh, Robert F. & Taylor, Lucian A., 2020. "Fund tradeoffs," Journal of Financial Economics, Elsevier, vol. 138(3), pages 614-634.
  15. Grønborg, Niels S. & Lunde, Asger & Timmermann, Allan & Wermers, Russ, 2021. "Picking funds with confidence," Journal of Financial Economics, Elsevier, vol. 139(1), pages 1-28.
  16. Shiyang Huang & Bart Zhou Yueshen, 2021. "Speed Acquisition," Management Science, INFORMS, vol. 67(6), pages 3492-3518, June.
  17. Savitar Sundaresan & Jaromir Nosal & Marcin Kacperczyk, 2017. "Market Power and Informational Efficiency," 2017 Meeting Papers 356, Society for Economic Dynamics.
  18. Chong Huang & Fei Li & Xi Weng, 2020. "Star Ratings and the Incentives of Mutual Funds," Journal of Finance, American Finance Association, vol. 75(3), pages 1715-1765, June.
  19. Timmermann, Allan & Qu, Ritong & Zhu, Yinchu, 2019. "Do Any Economists Have Superior Forecasting Skills?," CEPR Discussion Papers 14112, C.E.P.R. Discussion Papers.
  20. Eisele, Alexander & Nefedova, Tamara & Parise, Gianpaolo & Peijnenburg, Kim, 2020. "Trading out of sight: An analysis of cross-trading in mutual fund families," Journal of Financial Economics, Elsevier, vol. 135(2), pages 359-378.
  21. Pástor, Luboš & Stambaugh, Robert F. & Taylor, Lucian, 2017. "Portfolio Liquidity and Diversification: Theory and Evidence," CEPR Discussion Papers 12195, C.E.P.R. Discussion Papers.
  22. Kacperczyk, Marcin & Nosal, Jaromir & Stevens, Luminita, 2019. "Investor sophistication and capital income inequality," Journal of Monetary Economics, Elsevier, vol. 107(C), pages 18-31.
  23. Dragomirescu-Gaina, Catalin & Galariotis, Emilios & Philippas, Dionisis, 2021. "Chasing the ‘green bandwagon’ in times of uncertainty," Energy Policy, Elsevier, vol. 151(C).
  24. John Ammer & John Rogers & Gang Wang & Yang Yu, 2020. "Monetary Policy Expectations, Fund Managers, and Fund Returns: Evidence from China," International Finance Discussion Papers 1285, Board of Governors of the Federal Reserve System (U.S.).
  25. Alan Crane & Kevin Crotty & Tarik Umar, 2023. "Hedge Funds and Public Information Acquisition," Management Science, INFORMS, vol. 69(6), pages 3241-3262, June.
  26. Anna Abdulmanova & Stephen P. Ferris & Narayanan Jayaraman & Pratik Kothari, 2021. "The effect of investor attention on fraud discovery and value loss in securities class action litigation," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(3), pages 513-552, September.
  27. Xavier Gabaix, 2017. "Behavioral Inattention," NBER Working Papers 24096, National Bureau of Economic Research, Inc.
  28. Xu, Liao & Zhang, Xuan & Zhao, Jing, 2023. "Limited investor attention and biased reactions to information: Evidence from the COVID-19 pandemic," Journal of Financial Markets, Elsevier, vol. 62(C).
  29. He, Yazhou Ellen, 2021. "Communications in proxy contests," Journal of Corporate Finance, Elsevier, vol. 69(C).
  30. Chen, Xin & Jiang, Gege & Jiang, Yu, 2025. "Multivariate discrete choice with rational inattention: Model development, application, and calibration," Transportation Research Part E: Logistics and Transportation Review, Elsevier, vol. 194(C).
  31. Gonçalo Faria & Fabio Verona, 2016. "Forecasting the equity risk premium with frequency-decomposed predictors," Working Papers de Economia (Economics Working Papers) 06, Católica Porto Business School, Universidade Católica Portuguesa.
  32. Garel, Alexandre & Martin-Flores, Jose M. & Petit-Romec, Arthur & Scott, Ayesha, 2021. "Institutional investor distraction and earnings management," Journal of Corporate Finance, Elsevier, vol. 66(C).
  33. Wang, Keyun & Xu, Fengmin & Wang, Shihao & Li, Benchu, 2024. "Data analysis technology and inequality in capital costs," Economics Letters, Elsevier, vol. 237(C).
  34. Chen, Linda H. & Jiang, George J. & Zhu, Kevin X., 2018. "Total attention: The effect of macroeconomic news on market reaction to earnings news," Journal of Banking & Finance, Elsevier, vol. 97(C), pages 142-156.
  35. Dragomirescu-Gaina, Catalin & Philippas, Dionisis & Tsionas, Mike G., 2021. "Trading off accuracy for speed: Hedge funds' decision-making under uncertainty," International Review of Financial Analysis, Elsevier, vol. 75(C).
  36. Li, Jiahan & Tsiakas, Ilias, 2017. "Equity premium prediction: The role of economic and statistical constraints," Journal of Financial Markets, Elsevier, vol. 36(C), pages 56-75.
  37. Adlai Fisher & Charles Martineau & Jinfei Sheng, 2022. "Macroeconomic Attention and Announcement Risk Premia," The Review of Financial Studies, Society for Financial Studies, vol. 35(11), pages 5057-5093.
  38. Philippas, Dionisis & Dragomirescu-Gaina, Catalin & Goutte, Stéphane & Nguyen, Duc Khuong, 2021. "Investors’ attention and information losses under market stress," Journal of Economic Behavior & Organization, Elsevier, vol. 191(C), pages 1112-1127.
  39. Timmermann, Allan & Schmidt, Lawrence & , & Wermers, Russ, 2017. "Transparency, Investor Information Acquisition, and Money Market Fund Risk Rebalancing during the 2011-12 Eurozone Crisis," CEPR Discussion Papers 11895, C.E.P.R. Discussion Papers.
  40. Ahmad, Fawad & Oriani, Raffaele, 2022. "Investor attention, information acquisition, and value premium: A mispricing perspective," International Review of Financial Analysis, Elsevier, vol. 79(C).
  41. Casavecchia, Lorenzo & Ge, Chanyuan, 2019. "Jack of all trades versus specialists: Fund family specialization and mutual fund performance," International Review of Financial Analysis, Elsevier, vol. 63(C), pages 69-85.
  42. Huang, Shiyang & Huang, Yulin & Lin, Tse-Chun, 2019. "Attention allocation and return co-movement: Evidence from repeated natural experiments," Journal of Financial Economics, Elsevier, vol. 132(2), pages 369-383.
  43. Nisani, Doron & Shelef, Amit & Sonenshine, Ralph & David, Or, 2024. "The mutual funds puzzle and the elusive von Neumann-Morgenstern preference relation," International Review of Financial Analysis, Elsevier, vol. 92(C).
  44. Jules Van Binsbergen & Jungsuk Han & Hongxun Ruan & Ran Xing, 2024. "A Horizon‐Based Decomposition of Mutual Fund Value Added Using Transactions," Journal of Finance, American Finance Association, vol. 79(3), pages 1831-1882, June.
  45. Nicolae Gârleanu & Lasse Heje Pedersen, 2022. "Active and Passive Investing: Understanding Samuelson’s Dictum [A noisy rational expectations equilibrium for multi-asset securities markets]," The Review of Asset Pricing Studies, Society for Financial Studies, vol. 12(2), pages 389-446.
  46. Dew-Becker, Ian & Nathanson, Charles G., 2019. "Directed attention and nonparametric learning," Journal of Economic Theory, Elsevier, vol. 181(C), pages 461-496.
  47. Buss, Adrian & Sundaresan, Savitar, 2020. "More Risk, More Information: How Passive Ownership Can Improve Informational Efficiency," CEPR Discussion Papers 14843, C.E.P.R. Discussion Papers.
  48. Seth Neumuller & Casey Rothschild, 2017. "Financial Sophistication and Portfolio Choice over the Life Cycle," Review of Economic Dynamics, Elsevier for the Society for Economic Dynamics, vol. 26, pages 243-262, October.
  49. Campbell, Dennis & Loumioti, Maria & Wittenberg-Moerman, Regina, 2019. "Making sense of soft information: interpretation bias and loan quality," Journal of Accounting and Economics, Elsevier, vol. 68(2).
  50. Hoang, Lai T. & Tan, Eric K.M. & Yang, Joey W., 2024. "The investment behavior of China-connected mutual funds in the pandemic: Information advantage through operational link," International Review of Financial Analysis, Elsevier, vol. 95(PA).
  51. Ward, Charles & Yin, Chao & Zeng, Yeqin, 2018. "Institutional investor monitoring motivation and the marginal value of cash," Journal of Corporate Finance, Elsevier, vol. 48(C), pages 49-75.
  52. Lu, Fei & Zeng, Qing & Bouri, Elie & Tao, Ying, 2024. "Forecasting US GDP growth rates in a rich environment of macroeconomic data," International Review of Economics & Finance, Elsevier, vol. 95(C).
  53. Juan-Camilo Chaves, 2019. "The Less I Know The Better? A Model of Rational Attention and Experimentation," Documentos CEDE 17606, Universidad de los Andes, Facultad de Economía, CEDE.
  54. Cai, Qiuye & Yung, Kenneth, 2024. "Retail attention on earnings announcement days: Evidence from social media," Journal of Behavioral and Experimental Finance, Elsevier, vol. 43(C).
  55. Travis Box & Danjue Shang, 2021. "Information‐driven stock price comovement," Journal of Financial Research, Southern Finance Association;Southwestern Finance Association, vol. 44(2), pages 403-429, June.
  56. David Hirshleifer & Chong Huang & Siew Hong Teoh, 2017. "Index Investing and Asset Pricing under Information Asymmetry and Ambiguity Aversion," NBER Working Papers 24143, National Bureau of Economic Research, Inc.
  57. Matějka, Filip & Mackowiak, Bartosz & Wiederholt, Mirko, 2018. "Survey: Rational Inattention, a Disciplined Behavioral Model," CEPR Discussion Papers 13243, C.E.P.R. Discussion Papers.
  58. Begenau, Juliane & Farboodi, Maryam & Veldkamp, Laura, 2018. "Big data in finance and the growth of large firms," Journal of Monetary Economics, Elsevier, vol. 97(C), pages 71-87.
  59. Robin Boadway & Pierre Pestieau, 2019. "Over the Top: Why an Annual Wealth Tax for Canada is Unnecessary," C.D. Howe Institute Commentary, C.D. Howe Institute, issue 546, June.
  60. Daniel Andrei & Michael Hasler, 2020. "Dynamic Attention Behavior Under Return Predictability," Management Science, INFORMS, vol. 66(7), pages 2906-2928, July.
  61. Peter Cziraki & Jordi Mondria & Thomas Wu, 2021. "Asymmetric Attention and Stock Returns," Management Science, INFORMS, vol. 67(1), pages 48-71, January.
  62. Feng Dong, 0. "Noise-driven abnormal institutional investor attention," Journal of Asset Management, Palgrave Macmillan, vol. 0, pages 1-22.
  63. Yin, Chao & Ward, Charles & Tsolacos, Sotiris, 2018. "Motivated monitoring: The importance of the institutional investment horizon," International Review of Financial Analysis, Elsevier, vol. 60(C), pages 197-212.
  64. Marmora, Paul & Rytchkov, Oleg, 2018. "Learning about noise," Journal of Banking & Finance, Elsevier, vol. 89(C), pages 209-224.
  65. Dong, Feng & Doukas, John A., 2021. "Managerial ability premium factor and fund performance," Journal of International Money and Finance, Elsevier, vol. 113(C).
  66. John Ammer & John Rogers & Gang Wang & Yang Yu, 2023. "Chinese Asset Managers’ Monetary Policy Forecasts and Fund Performance," Management Science, INFORMS, vol. 69(1), pages 598-616, January.
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