Discussion of "disclosure processing costs, investors' information choice, and equity market outcomes: A review"

In their review of investor processing costs, Blankespoor, deHaan, and Marinovic (2020) encourage researchers to consider "rational inattention" as a way to explain stock market underreaction to public information. We formalize their argument and propose alternatives using a set of formal models. To distinguish between the various drivers of under reaction, we encourage future researchers to consider the opportunity cost of being inattentive, the historical evolution of underreaction, and the difference between information-based and return-based underreaction. (C) 2020 Elsevier B.V. All rights reserved.