Limited attention and portfolio choice: The impact of attention allocation on mutual fund performance
研究发现，共同基金经理如何高效分配注意力于不同资产，显著影响基金未来业绩；当经理对需要更多信息获取的资产采取更大主动仓位时，注意力分配效率更高。
Abstract This study proposes that the performance of mutual fund managers is linked to how efficiently they allocate attention across assets in their investment set. Motivated by existing models of optimal portfolio choice and rational inattention, we posit that the efficiency of attention allocation increases when a manager chooses larger (smaller) active positions in assets that need more (less) information acquisition effort to resolve uncertainty about future payoffs. We show that the efficiency of attention allocation has a significantly positive impact on future fund performance. Efficient attention allocation has a lesser impact on performance as the total demands on a manager's limited attention increase.