Attention and Biases: Evidence from Tax-Inattentive Investors
研究发现巴西股市投资者对简单的资本利得税免税政策存在注意力不足，且这类投资者交易表现更差、行为偏差更明显，表明注意力不足是行为偏差普遍存在的原因之一。
We first provide evidence of investor inattention to a very simple and well-known capital gains tax exemption in the Brazilian stock market. We then show that inattentive investors exhibit worse trading performance and stronger trading biases even after controlling for several investor-level variables, such as past trading experience. The evidence is consistent with inattention being one of the explanations for the prevalence of behavioral biases. This paper was accepted by David Sraer, finance. Funding: F. Chague and B. Giovannetti gratefully acknowledge financial support from Conselho Nacional de Desenvolvimento Científico e Tecnológico. Supplemental Material: The internet appendix and data are available at https://doi.org/10.1287/mnsc.2021.02516 .