Johnson, J.E.V. and Bruce, A.C.
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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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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