Arbeitspapier
Advertising arbitrage
Arbitrageurs with a short investment horizon gain from accelerating price discovery by advertising their private information. However, advertising many assets may overload investors' attention, reducing the number of informed traders per asset and slowing price discovery. So arbitrageurs optimally concentrate advertising on just a few assets, which they overweight in their portfolios. Unlike classic insiders, advertisers prefer assets with the least noise trading. If several arbitrageurs share information about the same assets, inefficient equilibria can arise, where investors' attention is overloaded and substantial mispricing persists. When they do not share, the overloading of investors' attention is maximal.
- Sprache
-
Englisch
- Erschienen in
-
Series: CFS Working Paper Series ; No. 641
- Klassifikation
-
Wirtschaft
Portfolio Choice; Investment Decisions
Information and Market Efficiency; Event Studies; Insider Trading
Expectations; Speculations
- Thema
-
limits to arbitrage
advertising
price discovery
limited attention
- Ereignis
-
Geistige Schöpfung
- (wer)
-
Kovbasyuk, Sergey
Pagano, Marco
- Ereignis
-
Veröffentlichung
- (wer)
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Goethe University Frankfurt, Center for Financial Studies (CFS)
- (wo)
-
Frankfurt a. M.
- (wann)
-
2020
- Handle
- URN
-
urn:nbn:de:hebis:30:3-534594
- Letzte Aktualisierung
-
20.09.2024, 08:20 MESZ
Datenpartner
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.
Objekttyp
- Arbeitspapier
Beteiligte
- Kovbasyuk, Sergey
- Pagano, Marco
- Goethe University Frankfurt, Center for Financial Studies (CFS)
Entstanden
- 2020