Learning with Information Capacity Constraints
构建连续时间均衡模型，分析代表性投资者在信息容量有限时如何分配注意力，内生决定信息结构与资产价格动态，解释消费行为及价格信息效率的横截面差异。
Abstract Motivated by the fact that investors have limited time and attention to process information, this paper provides a continuous-time equilibrium model 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 structure of information and the resulting asset price dynamics are determined endogenously. The model provides implications on both consumption behavior and the cross-sectional differences in price informativeness in terms of supply of information, speed of price adjustments to fundamental shocks, and price reactions to firm disclosures.