Information Processing Constraints and Asset Mispricing
利用温布尔登网球锦标赛博彩交易所数据，研究发现信息到达导致两个等价资产间出现显著错误定价，部分源于价格更新频率差异，表明信息处理约束迫使市场周期性忽略某一资产。
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.