We develop a model of information and portfolio choice in which ex ante identical investors choose to specialize because of fixed attention costs required in learning about securities. Without this friction, investors would invest in all securities and would be indifferent across a wide range of information choices. When securities’ dividends depend on an aggregate (macro) risk factor and idiosyncratic (micro) shocks, fixed attention costs lead investors to specialize in either macro or micro information. Our results favor Samuelson’s dictum that markets are more micro than macro efficient. We derive testable predictions from our model and find empirical support for our predictions in specialization by U.S. equity mutual funds.

中文翻译：

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宏观和微观信息的投资者信息选择

我们开发了一个信息和投资组合选择模型，在该模型中，由于学习证券所需的固定注意力成本，事前相同的投资者选择专业化。如果没有这种摩擦，投资者将投资于所有证券，并且对广泛的信息选择无动于衷。当证券的红利取决于总体（宏观）风险因素和特殊（微观）冲击时，固定关注成本会导致投资者专注于宏观或微观信息。我们的结果支持萨缪尔森的格言，即市场比宏观更有效率。我们从我们的模型中得出可检验的预测，并为我们在美国股票共同基金专业化方面的预测找到经验支持。