Fluctuating attention and financial contagion
Journal of Monetary Economics(2018)
摘要
•Investors pay fluctuating attention to news.•In the model, fluctuating attention implies return and volatility spillovers.•As predicted, U.S. industries are impacted by attention-induced spillovers.
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关键词
Learning,Attention to news,Contagion,Return and volatility spillovers
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