Advertising Arbitrage

Arbitrageurs with a short investment horizon gain from accelerating price discoveryby advertising their private information. However, advertising many assets mayoverload investors' attention, reducing the number of informed traders per assetand slowing price discovery. So arbitrageurs optimally concentrate advertising onjust a few assets, which they overweight in their portfolios. Unlike classic insiders,advertisers prefer assets with the least noise trading. If several arbitrageurs shareinformation about the same assets, inefficient equilibria can arise, where investors'attention is overloaded and substantial mispricing persists. When they do not share,the overloading of investors' attention is maximal