Limited Attention and the Allocation of Effort in Securities Trading

• 成果类型: Article
• 署名作者: Corwin, Shane A.; Coughenour, Jay F.
• 署名单位: University of Notre Dame; University of Delaware
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.2008.01420.x
• 发表日期: 2008
• 页码: 3031-3067
• 关键词: EMPIRICAL-ANALYSIS; Market makers; INFORMATION; NYSE; prices; COMMONALITY; BEHAVIOR; spreads; MODEL; ask

摘要

While limited attention has been analyzed in a variety of economic and psychological settings, its impact on financial markets is not well understood. In this paper, we examine individual NYSE specialist portfolios and test whether liquidity provision is affected as specialists allocate their attention across stocks. Our results indicate that specialists allocate effort toward their most active stocks during periods of increased activity, resulting in less frequent price improvement and increased transaction costs for their remaining assigned stocks. Thus, the allocation of effort due to limited attention has a significant impact on liquidity provision in securities markets.