Top–down and bottom–up information acquisition: Application to financial markets
扩展了理性疏忽模型，纳入自下而上的注意力过程（如显著性效应），通过可变信息处理成本分析其对资产定价的影响，发现显著性增强资产价格信息含量。
Recent studies confirm the main prediction of the rational inattention framework that the perceived value of information (top–down) as a key driver of attention. However, these investigations also report stimulus-driven salience effects (bottom–up) that counteract the framework’s predictions. In this manuscript, I propose an extension to the standard rational inattention model by incorporating bottom–up attention processes such as salience-effects through varying information processing costs. Applied to asset pricing with a representative agent a higher information salience generally reduces the cost of information processing (attention) needed for the same level of uncertainty reduction. Due to a substitution effect in the attention allocation across information, an attention-maximizing salience emerges. In general, a higher information salience consistently enhances asset price informativeness. • Recent studies confirm the rational inattention framework’s prediction that attention is driven by perceived information value; however, they also report stimulus-driven salience effects that counteract this rational prediction. • Bottom–up attention processes can be captured within the standard rational inattention model by allowing for heterogeneous information processing costs. • In the context of a representative agent asset pricing model, a substitution effect in attention allocation across information implies an attention-maximizing salience.