An important difference between buying ads on 400k sites and 5k sites is the margin for the middlemen. The money is going to get spent anyway, so the middleman needs to optimise his take.
The bigger the sites; the more leverage they have over middlemen. The lower the fees exchanges/ssps can collect - for big sites (ones people have actually heard of) the fee is effectively zero, and are needed by exchanges as loss leaders to attract any demand. Little sites with no leverage will expect to pay around ~70% to the middlemen (although not all of that will be disclosed).
True story: about 250 domains will get you above 98% of online population in most countries. This is plenty large enough for dvertisers to do all kinds of fancy targeting and optimisation within this pool.
Ad exchanges usually charge a fixed rate on revenue (like 15% or 20%).
If the spend is the same, then the ad exchanges don't make any more money.
There are other middle men, like the audit companies and the impression counters, but they end up making less money because they usually charge by the volume of impressions: Since the same budget will be spent over a smaller number of sites, the prices for those sites will raise and the number of impressions will go down.
The only people who win are the publishers of those sites who now have more money for the same users.
The bigger the sites; the more leverage they have over middlemen. The lower the fees exchanges/ssps can collect - for big sites (ones people have actually heard of) the fee is effectively zero, and are needed by exchanges as loss leaders to attract any demand. Little sites with no leverage will expect to pay around ~70% to the middlemen (although not all of that will be disclosed).
True story: about 250 domains will get you above 98% of online population in most countries. This is plenty large enough for dvertisers to do all kinds of fancy targeting and optimisation within this pool.