PORTFOLIO REBALANCING AND ASSET PRICING WITH HETEROGENEOUS INATTENTION
通过引入观察成本，研究家庭对股市的忽视如何解释投资组合再平衡的惯性及其异质性，并改善资产定价模型的表现。
Abstract Can households' inattention to the stock market quantitatively account for the inertia in portfolio rebalancing? I address this question by introducing an observation cost into a production economy with heterogeneous agents. In this environment, inattention changes endogenously over time and across agents. I find that inattention explains the inertia in portfolio rebalancing and its heterogeneity across households. Inattention also rationalizes the limited stock market participation observed in the data and improves the asset pricing performance of the model. Finally, I present a novel testable implication linking the effects of inattention on portfolio choices and asset prices to households' funding liquidity.