| 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 | 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. |
| 主题 | Financial Economics |
| 关键词 | Limits to arbitrage Advertising Price discovery Limited attention |
| URL | https://cepr.org/publications/dp15064 |
| 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/544019 |
| 推荐引用方式 GB/T 7714 | Marco Pagano,Sergei Kovbasyuk. DP15064 Advertising Arbitrage. 2020. |
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