Information Processing Constraints and Asset Mispricing

Datos Bibliográficos

ID9707214
AutoresAlasdair Brown (University of East Anglia, autor de correspondencia)
Año2014
Volumen124
Número575
Páginas245-268
Fecha de publicación2014-03-01
Peer ReviewedSí
Open AccessSí
TipoARTICLE
RevistaThe Economic Journal (JOURNAL)
Identificadores de la revistaISSN: 0013-0133 • E-ISSN: 1468-0297
EditorialOxford University Press (OUP) (PUBLISHER)
DOI10.1111/ecoj.12057
OpenAlexW2141742830
IdiomaEN
Citas recibidas1
Referencias citadas33

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

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