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An exploration of inefficiency in a market for state contingent claims

Johnson, J.E.V. and Bruce, A.C. (1999) An exploration of inefficiency in a market for state contingent claims , Southampton, UK University of Southampton (Discussion Papers in Accounting and Management Science, 99-144).

Record type: Monograph (Discussion Paper)

Abstract

This paper apportions responsability for inefficency in a market for state contingent claims between market makers and traders. We specifically examine the origins of a frequently observed distortion in the market for bets in horseraces- the favorite- longshot bias. Previous studies rationalise the bias in terms of traders' (bettors) or market makers' (bookmakers) behaviour. Employing hitherto unavailable data we conduct a parallel logistic analysis of parimutuel and bookmakers markets, which offers an uniquivocal basis for identifying the origin of the bias

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Published date: 1999

Identifiers

Local EPrints ID: 36091
URI: http://eprints.soton.ac.uk/id/eprint/36091
PURE UUID: 34dc57a3-8de7-4856-903b-38e607262aa8

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Date deposited: 24 Apr 2007
Last modified: 17 Jul 2017 15:45

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Contributors

Author: J.E.V. Johnson
Author: A.C. Bruce

University divisions

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