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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Description/Abstract
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) |
|---|---|
| Related URLs: | |
| Subjects: | H Social Sciences > HF Commerce G Geography. Anthropology. Recreation > GV Recreation Leisure |
| Divisions: | University Structure - Pre August 2011 > School of Management |
| Item ID: | 36091 |
| Date Deposited: | 24 Apr 2007 |
| Last Modified: | 02 Mar 2012 13:51 |
| Contributors: | Johnson, J.E.V. (Author) Bruce, A.C. (Author) |
| Date: | 1999 |
| Status: | Published |
| Publisher: | University of Southampton |
| URI: | http://eprints.soton.ac.uk/id/eprint/36091 |
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