Asset pricing under information-processing constraints

Yulei Luo () and Eric Young

Economics Letters, 2010, vol. 107, issue 1, 26-29

Abstract: This paper studies the implications of rational inattention (RI) for asset pricing in a LQ-PIH model. We find that RI increases the size of risk adjustment to asset prices and expected excess returns, which helps resolve extant asset pricing puzzles.

Keywords: Rational; inattention; Asset; pricing; Permanent; income (search for similar items in EconPapers)
Date: 2010
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Citations: View citations in EconPapers (7)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:ecolet:v:107:y:2010:i:1:p:26-29

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