Information Processing Constraints and Asset Mispricing

Tools

Brown, Alasdair (2014) Information Processing Constraints and Asset Mispricing. The Economic Journal, 124 (575). ISSN 0013-0133

Preview

PDF (ecoj12057) - Published Version
Download (1MB) | Preview

Abstract

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.

Item Type:	Article
Faculty \ School:	Faculty of Social Sciences > School of Economics
UEA Research Groups:	Faculty of Social Sciences > Research Groups > Applied Econometrics And Finance
Related URLs:	http://www.scopus.com/inward/record.url?...
Depositing User:	Pure Connector
Date Deposited:	15 Nov 2013 16:34
Last Modified:	24 Oct 2022 05:01
URI:	https://ueaeprints.uea.ac.uk/id/eprint/44399
DOI:	10.1111/ecoj.12057

Downloads

Downloads per month over past year

Actions (login required)

View Item