Exploring the weekend effect in a market for state contingent claims
Sung, M and Johnson, Johnnie (2007) Exploring the weekend effect in a market for state contingent claims. In, 22nd European Conference on Operational Research (EURO XXII), Prague, Czech Republic, 08 - 11 Jul 2007. Prague, Czech Republic, University of Economics.
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This study explores the origins and strength of the weekend effect by examining a market for state contingent claims where this phenomenon has not been explored; the UK horseracing market. Conditional logit models are developed for weekend and weekday markets and prices are shown to be an inferior guide to race outcome at weekends. Evidence is provided that weekend markets are populated by a larger proportion of noise traders and that their inaccurate judgements cause the effect. It is shown that the effect is sufficiently pronounced to enable abnormal returns to be earned in weekend markets.
|Item Type:||Conference or Workshop Item (Paper)|
|Keywords:||finance and banking, or in sports, forecasting|
|Subjects:||H Social Sciences > HG Finance
H Social Sciences > HD Industries. Land use. Labor > HD61 Risk Management
|Divisions:||University Structure - Pre August 2011 > School of Management
|Date Deposited:||07 Jul 2008|
|Last Modified:||02 Mar 2012 12:51|
|Contributors:||Sung, M (Author)
Johnson, Johnnie (Author)
|Date:||9 July 2007|
|Publisher:||University of Economics|
|RDF:||RDF+N-Triples, RDF+N3, RDF+XML, Browse.|
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