Exploring the weekend effect in a market for state contingent claims
Exploring the weekend effect in a market for state contingent claims
This study explores the origins and strength of the weekend effect by examining a market for state contingent claims where this phenomenon has not been explored; the UK horseracing market. Conditional logit models are developed for weekend and weekday markets and prices are shown to be an inferior guide to race outcome at weekends. Evidence is provided that weekend markets are populated by a larger proportion of noise traders and that their inaccurate judgements cause the effect. It is shown that the effect is sufficiently pronounced to enable abnormal returns to be earned in weekend markets.
finance and banking, or in sports, forecasting
Sung, M
2114f823-bc7f-4306-a775-67aee413aa03
Johnson, Johnnie
6d9f1a51-38a8-4011-a792-bfc82040fac4
9 July 2007
Sung, M
2114f823-bc7f-4306-a775-67aee413aa03
Johnson, Johnnie
6d9f1a51-38a8-4011-a792-bfc82040fac4
Sung, M and Johnson, Johnnie
(2007)
Exploring the weekend effect in a market for state contingent claims.
22nd European Conference on Operational Research (EURO XXII), Prague, Czech Republic.
07 - 10 Jul 2007.
Record type:
Conference or Workshop Item
(Paper)
Abstract
This study explores the origins and strength of the weekend effect by examining a market for state contingent claims where this phenomenon has not been explored; the UK horseracing market. Conditional logit models are developed for weekend and weekday markets and prices are shown to be an inferior guide to race outcome at weekends. Evidence is provided that weekend markets are populated by a larger proportion of noise traders and that their inaccurate judgements cause the effect. It is shown that the effect is sufficiently pronounced to enable abnormal returns to be earned in weekend markets.
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Published date: 9 July 2007
Venue - Dates:
22nd European Conference on Operational Research (EURO XXII), Prague, Czech Republic, 2007-07-07 - 2007-07-10
Keywords:
finance and banking, or in sports, forecasting
Identifiers
Local EPrints ID: 51324
URI: http://eprints.soton.ac.uk/id/eprint/51324
PURE UUID: dc85e77b-8a14-45af-81a4-b90acc967fbd
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Date deposited: 07 Jul 2008
Last modified: 12 Dec 2021 03:27
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Contributors
Author:
Johnnie Johnson
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