| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 5061208 | Economics Letters | 2010 | 4 Pages |
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.
Related Topics
Social Sciences and Humanities
Economics, Econometrics and Finance
Economics and Econometrics
Authors
Yulei Luo, Eric R. Young,