INFORMATION PROCESSING CONSTRAINTS AND ASSET MISPRICING

• 成果类型: Article
• 署名作者: Brown, Alasdair
• 署名单位: University of East Anglia
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12057
• 发表日期: 2014
• 页码: 245-268
• 关键词: inattentional blindness; investor inattention; limited attention; MARKET; EFFICIENCY; underreaction; allocation; news; odds

摘要

I analyse a series of natural quasi-experiments - centred on betting exchange data on the Wimbledon Tennis Championships - to determine whether information processing constraints are partially responsible for mispricing in asset markets. I find that the arrival of information during each match leads to substantial mispricing between two equivalent assets, and that part of this mispricing can be attributed to differences in the frequency with which the two prices are updated inplay. This suggests that information processing constraints force the periodic neglect of one of the assets, thereby causing substantial, albeit temporary, mispricing in this simple asset market.