Learning with Information Capacity Constraints
نویسنده
چکیده
Motivated by the fact that investors have limited time and attention to process information, this paper provides a conlinuous-timc equilibrium mode! to analyze the effects of a capacity constraint in the learning process of a representative investor, who optimally allocates her information capacity across multiple sources of uncertainty. Consequently, the cross-sectional stnicture of information and the resulting asset price dynamics are determined endogenously. The model provides implications on both consumpiion behavior and the LToss-sectional differences in price infonnativeness in terms of supply of information, speed of price adjustments to fundamental shocks, and price reactions to tirm disclosures.
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