An exploration of inefficiency in a market for state contingent claims
Johnson, J.E.V. and Bruce, A.C. (1999) An exploration of inefficiency in a market for state contingent claims. Southampton, UK, University of Southampton (Discussion Papers in Accounting and Management Science, (99-144) ).
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This paper apportions responsability for inefficency in a market for state contingent claims between market makers and traders. We specifically examine the origins of a frequently observed distortion in the market for bets in horseraces- the favorite- longshot bias. Previous studies rationalise the bias in terms of traders' (bettors) or market makers' (bookmakers) behaviour. Employing hitherto unavailable data we conduct a parallel logistic analysis of parimutuel and bookmakers markets, which offers an uniquivocal basis for identifying the origin of the bias
|Item Type:||Monograph (Discussion Paper)|
|Subjects:||H Social Sciences > HF Commerce
G Geography. Anthropology. Recreation > GV Recreation Leisure
|Divisions:||University Structure - Pre August 2011 > School of Management
|Date Deposited:||24 Apr 2007|
|Last Modified:||27 Mar 2014 18:22|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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