| 来源类型 | Discussion paper |
| 规范类型 | 论文 |
| 来源ID | DP15064 |
| DP15064 Advertising Arbitrage | |
| Marco Pagano; Sergei Kovbasyuk | |
| 发表日期 | 2020-07-18 |
| 出版年 | 2020 |
| 语种 | 英语 |
| 摘要 | An arbitrageur with short investment horizon gains from accelerating price discovery by advertising his private information. However, advertising many assets may overload investors' attention, reducing the number of informed traders per asset and slowing price discovery. So the arbitrageur optimally concentrates advertising on just a few assets, unless his trades have significant price impact. The arbitrageur's gain from advertising is increasing in the assets' mispricing and in the precision of his private information, and is decreasing in its difficulty for investors. If several arbitrageurs have private information, inefficient equilibria can arise, where investors' attention is overloaded and substantial mispricing persists. |
| 主题 | Financial Economics |
| 关键词 | Imits to arbitrage Advertising Price discovery Limited attention |
| URL | https://cepr.org/publications/dp15064-0 |
| 来源智库 | Centre for Economic Policy Research (United Kingdom) |
| 资源类型 | 智库出版物 |
| 条目标识符 | http://119.78.100.153/handle/2XGU8XDN/544018 |
| 推荐引用方式 GB/T 7714 | Marco Pagano,Sergei Kovbasyuk. DP15064 Advertising Arbitrage. 2020. |
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