Efficiency characteristics of a market for state contingent claims
Efficiency characteristics of a market for state contingent claims
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 bookmaker and parimutuel odds identifies inefficiency in terms of zones of distinct but contrasting forms of cross-market returns differential. The inefficiency is rationalized in terms of both buyer and supplier behaviour; its durability is explained in terms of limited arbitrage opportunities.
1751-1754
Bruce, A.C.
6d9f1a51-38a8-4011-a792-bfc82040fac4
Johnson, J.E.V.
1ac804ad-0402-4c8f-8d96-065dffb67a46
2001
Bruce, A.C.
6d9f1a51-38a8-4011-a792-bfc82040fac4
Johnson, J.E.V.
1ac804ad-0402-4c8f-8d96-065dffb67a46
Bruce, A.C. and Johnson, J.E.V.
(2001)
Efficiency characteristics of a market for state contingent claims.
Applied Economics, 33 (13), .
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 bookmaker and parimutuel odds identifies inefficiency in terms of zones of distinct but contrasting forms of cross-market returns differential. The inefficiency is rationalized in terms of both buyer and supplier behaviour; its durability is explained in terms of limited arbitrage opportunities.
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Published date: 2001
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Johnson, J.E.V. and A.C. Bruce
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Local EPrints ID: 35705
URI: http://eprints.soton.ac.uk/id/eprint/35705
ISSN: 0003-6846
PURE UUID: 9f39582c-3213-4a2b-9673-bc8ef8317381
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Date deposited: 22 May 2006
Last modified: 08 Jan 2022 09:57
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Author:
A.C. Bruce
Author:
J.E.V. Johnson
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