Comparative analysis of market efficiency in parallel betting markets


Johnson, J.E.V. and Bruce, A.C. (1999) Comparative analysis of market efficiency in parallel betting markets , Southampton, UK University of Southampton (Accounting and Management Science Papers, 99-143).

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Description/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

Item Type: Monograph (Discussion Paper)
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ePrint ID: 36090
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1999Published
Date Deposited: 24 Apr 2007
Last Modified: 16 Apr 2017 22:07
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/36090

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