Exploring decision makers' use of price information in a speculative market


Johnson, Johnnie E.V., Jones, Owen and Tang, Leilei (2006) Exploring decision makers' use of price information in a speculative market. Management Science, 52, (6), 897-908. (doi:10.1287/mnsc.1060.0506).

Download

Full text not available from this repository.

Original Publication URL: http://dx.doi.org/10.1287/mnsc.1060.0506

Description/Abstract

We explore the extent to which the decisions of participants in a speculative market effectively account for information contained in prices and price movements. The horse race betting market is an ideal environment to explore these issues. A conditional logit model is constructed to determine winning probabilities based on bookmakers' closing prices and the time-indexed movement of prices to the market close. We incorporate a technique for extracting predictors from price (odds) curves using orthogonal polynomials. The results indicate that closing prices do not fully incorporate market price information, particularly information that is less readily discernable by market participants.

Item Type: Article
ISSNs: 0025-1909 (print)
Related URLs:
Keywords: market efficiency, information, modeling price curves, betting, wagering
Subjects: H Social Sciences > HG Finance
Divisions: University Structure - Pre August 2011 > School of Management
ePrint ID: 35775
Date Deposited: 20 Jun 2006
Last Modified: 27 Mar 2014 18:22
URI: http://eprints.soton.ac.uk/id/eprint/35775

Actions (login required)

View Item View Item