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).
Full text not available from this repository.
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:||G Geography. Anthropology. Recreation > GV Recreation Leisure
H Social Sciences > HF Commerce
|Divisions:||University Structure - Pre August 2011 > School of Management
|Date Deposited:||24 Apr 2007|
|Last Modified:||31 Mar 2016 12:04|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
Actions (login required)