Impact of information disclosure ratings on investment efficiency: evidence from China

Dynamic Attention Allocation in Risky Asset Market

“…We assume the signal denoted by s k j (t) can be considered a perturbation of x with an error ϵ t following a normal distribution with mean 0. The precision is controlled by the corresponding attention allocated [6], and signals among different investors are independent across all trading periods. In particular, the investor k receives the following signals in period [t, t + Δt]:…”

“…One of the key insights from the literature on rational expectations models is that the level of information available to investors and their ability to process this information are crucial determinants of asset prices [4][5][6]. In a noisy rational expectations model, investors receive noisy signals about the payoff of a risky asset and update their beliefs accordingly [7][8][9].…”