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)
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

Dieses Objekt wird bereitgestellt von:
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

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