Investor Attention and Stock Market Volatility
从理论和实证两方面研究了投资者对新闻的关注和学习不确定性如何共同影响资产价格，发现股票收益方差和风险溢价随关注度和不确定性增加，且这种关系可能是二次的。
We investigate, in a theoretical framework, the joint role played by investors' attention to news and learning uncertainty in determining asset prices. The model provides two main predictions. First, stock return variance and risk premia increase with both attention and uncertainty. Second, this increasing relationship is quadratic. We empirically test these two predictions, and we show that the data lend support to the increasing relationship. The evidence for a quadratic relationship is mixed. Overall, our study shows theoretically and empirically that both attention and uncertainty are key determinants of asset prices.