EconPapers    
Economics at your fingertips  
 

Advertising Arbitrage

Sergey Kovbasyuk and Marco Pagano

No w0277, Working Papers from New Economic School (NES)

Abstract: 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, inecient equilibria can arise, where investors' attention is overloaded and substantial mispricing persists. When they do not share, the overloading of investors' attention is maximal.

Keywords: limits to arbitrage; advertising; price discovery; limited attention (search for similar items in EconPapers)
JEL-codes: D84 G11 G14 G2 (search for similar items in EconPapers)
Pages: 32 pages
Date: 2020-08
New Economics Papers: this item is included in nep-mst
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (1)

Downloads: (external link)
https://www.nes.ru/files/Preprints-resh/WP277.pdf (application/pdf)

Related works:
Journal Article: Advertising Arbitrage (2022) Downloads
Working Paper: Advertising Arbitrage (2022) Downloads
Working Paper: Advertising Arbitrage (2022) Downloads
Working Paper: Advertising Arbitrage (2022) Downloads
Working Paper: Advertising Arbitrage (2020) Downloads
Working Paper: Advertising arbitrage (2020) Downloads
Working Paper: Advertising arbitrage (2014) Downloads
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:abo:neswpt:w0277

Access Statistics for this paper

More papers in Working Papers from New Economic School (NES) Contact information at EDIRC.
Bibliographic data for series maintained by Vladimir Ivanyukhin ( this e-mail address is bad, please contact ).

 
Page updated 2024-06-15
Handle: RePEc:abo:neswpt:w0277