Institutional Investor Attention
利用互联网新闻阅读数据衡量基金对宏观和公司新闻的注意力，发现基金在波动期更关注宏观新闻，且注意力再分配强的基金未来收益更高；基金对某只股票的注意力与持股正相关，并提升该持仓对基金业绩的贡献。
ABSTRACT Using data on Internet news reading, we measure fund‐level attention to both aggregate and firm‐specific news and relate it to fund portfolio allocation decisions. In the time series, we find that funds shift attention toward macroeconomic news during periods of high aggregate volatility. Those funds that exhibit stronger attention‐reallocation patterns earn higher future returns. In the cross‐section of fund portfolios, fund attention is positively related to stock holdings. Furthermore, fund attention to a stock increases the value‐add of that position to the fund's performance. This relationship is stronger using fund attention to more value‐relevant news articles.