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).
Full text not available from this repository.
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.
|Keywords:||market efficiency, information, modeling price curves, betting, wagering|
|Subjects:||H Social Sciences > HG Finance|
|Divisions:||University Structure - Pre August 2011 > School of Management
|Date Deposited:||20 Jun 2006|
|Last Modified:||01 Jun 2011 02:16|
|Contributors:||Johnson, Johnnie E.V. (Author)
Jones, Owen (Author)
Tang, Leilei (Author)
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
Actions (login required)