Investors’ behavior in the auctions for government bonds is closely associated with the processing and valuing of information. This study explores investors’ behavior in relation to information in the context of the sovereign debt market in Armenia in August 2017 to December 2025. Armenia has a small financial market, which is relatively deep and involves only a small number of investors. This particular situation allows for testing the applicability of the rational inattention theory. While information in a small open economy can be abundant, it does not follow that information is valued in the same way. Investors in a small open economy focus their attention on monitoring some salient policy variables, including the central bank policy interest rate and headline inflation but ignore some more specific signals such as demand dynamics. We suggest that the spread between the cut-off yield and the weighted average yield in the auction can be used as a measure of information inattention.  […]