TY  - UNPD
A1  - Kovbasyuk, Sergey
A1  - Pagano, Marco
T1  - Advertising arbitrage
T2  - Center for Financial Studies (Frankfurt am Main): CFS working paper series ; No. 641
N2  - 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.
T3  - CFS working paper series - 641 
KW  - limits to arbitrage
KW  - advertising
KW  - price discovery
KW  - limited attention
Y1  - 2020
UR  - http://publikationen.ub.uni-frankfurt.de/frontdoor/index/index/docId/53459
UR  - https://nbn-resolving.org/urn:nbn:de:hebis:30:3-534594
UR  - https://ssrn.com/abstract=3660945
IS  - July 15, 2020
PB  - Center for Financial Studies
CY  - Frankfurt, M.
ER  -