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.
|Journal||The Economic Journal|
|Early online date||28 Oct 2013|
|Publication status||Published - Mar 2014|
- School of Economics - Associate Professor in Economics
- Applied Econometrics And Finance - Member
Person: Research Group Member, Academic, Teaching & Research