| Popis: |
I model the speed of price adjustments to news arrival in limit order markets when investors have limited attention. Because of limited attention, investors imperfectly monitor news arrival. Consequently, in equilibrium, prices reflect news with delay. This delay shrinks when investors' attention capacity increases. The price adjustment delay also decreases when the frequency of news arrival increases. When news arrival frequency is higher, the picking-off risk increases for limit orders. The limit order book becomes thinner and there are fewer stale limit orders to execute or cancel after news arrival. Thus, it reduces the time it takes for market prices to reflect news content. |
