Comparative analysis of market efficiency in parallel betting markets
Comparative analysis of market efficiency in parallel betting markets
This paper concludes that a market for state-contingent claims (UK horserace betting) displays evidence of pervasive, but heterogeneous forms of, inefficiency, in significant contrast to earlier investigations. Using hitherto unavailable data, comparison of notional returns implicit in parallel sets of bookmakers and parimutuel odds identifies inefficiency in terms of zones of distinct but contrasting forms of cross-market returns differential. Comparative returns to actual betting activity suggest further distinctions between notional and actual cross-market returns
University of Southampton
Johnson, J.E.V.
6d9f1a51-38a8-4011-a792-bfc82040fac4
Bruce, A.C.
6a4ed45f-ba2b-4274-8e94-bd3d3b4f8da9
1999
Johnson, J.E.V.
6d9f1a51-38a8-4011-a792-bfc82040fac4
Bruce, A.C.
6a4ed45f-ba2b-4274-8e94-bd3d3b4f8da9
Johnson, J.E.V. and Bruce, A.C.
(1999)
Comparative analysis of market efficiency in parallel betting markets
(Accounting and Management Science Papers, 99-143)
Southampton, UK.
University of Southampton
Record type:
Monograph
(Discussion Paper)
Abstract
This paper concludes that a market for state-contingent claims (UK horserace betting) displays evidence of pervasive, but heterogeneous forms of, inefficiency, in significant contrast to earlier investigations. Using hitherto unavailable data, comparison of notional returns implicit in parallel sets of bookmakers and parimutuel odds identifies inefficiency in terms of zones of distinct but contrasting forms of cross-market returns differential. Comparative returns to actual betting activity suggest further distinctions between notional and actual cross-market returns
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Published date: 1999
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Local EPrints ID: 36090
URI: http://eprints.soton.ac.uk/id/eprint/36090
PURE UUID: 93e75adc-a154-4efc-a622-f8d5e767d71b
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Date deposited: 24 Apr 2007
Last modified: 11 Dec 2021 15:31
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Author:
J.E.V. Johnson
Author:
A.C. Bruce
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