Disclosure and Investor Inattention: Theory and Evidence
研究了投资者处理信息的能力如何影响公司自愿披露的概率，发现两者呈倒U型关系，并用机构持股和基金经理分心作为代理变量提供了实证证据。
ABSTRACT Investors have a finite capacity to organize all information they receive from financial disclosures. Under rational inattention, we show that investor processing capacity affects the probability of disclosure. Our main result is that the likelihood of disclosure is inverse-U shaped in investor attention. For low levels of attention, more attention facilitates communication and increases disclosure; for high levels of attention, more attention better identifies, and therefore deters, unfavorable voluntary disclosures. We provide empirical evidence that the relationship between investor attention and management forecast follows the predictions of the theory, using institutional ownership as a proxy for investor attention as well as exogenous shocks to fund manager distraction. JEL Classifications: D83; G14; M4.