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
ePrint ID: 36091
Date Deposited: 24 Apr 2007
Last Modified: 27 Mar 2014 18:22
URI: http://eprints.soton.ac.uk/id/eprint/36091

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