Learning with Information Capacity Constraints

By Lin Peng. Journal of Financial and Quantitative Analysis, 2005

325 citations recorded by the source corpus.

Subfields: Accounting, Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/299672475baa839d720a75a083525e3c7a70c642

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Citations in the corpus

Limited Investor Attention and Stock Market Misreactions to Accounting Information (2011, unknown): “of price adjustment to fundamental shocks ( Peng (2005) and Peng and Xiong (2004)), how delayed processing of new information aects the dynamics of asset price volatility”
Investor Attention and Stock Returns (2020, unknown): “(3)Recently, Da, Hua, Hung, and Peng (2020) propose attention measures by differentiating retail and”
A Tale of Two Anomalies: The Implications of Investor Attention for Price and Earnings Momentum (2009, unknown): “In this section, we examine whether the opposite patterns of price and earnings momentum profits across different turnover quintiles could be explained by the correlations between turnover and other variables, such as size and analyst coverage, which have been shown to generate variations in…”
Attention allocation and return co-movement: Evidence from repeated natural experiments (2019, background): “It thus differs from and complements Liu and Peng (2015) who analyze how attention, measured by Google Search volume, is affected by macro news in two aspects.”
Investor Attention and Time-Varying Comovements (2007, unknown): “As shown in Peng (2005) and Peng and Xiong (2006), the market factor tends to carry more weight in most investors’ portfolios and it is in their best interest to quickly resolve the market uncertainty before processing other assetspecific information.”
Investor attention and stock market activity: Evidence from France (2013, background): “As with Vlastakis and Markellos (2012), attention depends on the market state.”
Investor Attention: Overconfidence and Category Learning (2006, unknown): “The result of excess comovement at the market level is supported by empirical evidence of Shiller (1989) and Pindyck and Rotemberg (1993). Shiller finds that the comovement of real stock prices between the United Kingdom and the United States appear too large to be accounted for in terms of the como”
Liquidity Shocks and Stock Market Reactions (2014, methodology): “Moreover, as argued in the model of Peng and Xiong (2006), an investor who optimizes the amount of attention allocation would allocate more attention to systematic shocks and less to or even completely ignore firm-specific shocks.”
Limited Attention and the Allocation of Effort in Securities Trading (2008, background): “their effort? Given the intuition from Peng (2005) , we expect a constrained specialist to allocate effort”
Predictable Behavior, Profits, and Attention (2007, unknown): “Peng (2005) and Peng and Xiong (2006) derive implications for stock prices when investors are constrained in their ability to process information.”
Investor Attention and FX Market Volatility (2015, unknown): “Peng (2005) shows that attention constraints lead to delayed investor reactions to fundamental shocks and predictable consumption changes.”
Does Silence Speak? An Empirical Analysis of Disclosure Choices during Conference Calls (2010, unknown): “, a large number of investors are aware of the firm’s existence), investors are expected to trade in real time on information released (or withheld) during a call (Peng 2005).”