Exploring the weekend effect in a market for state contingent claims


Sung, M and Johnson, Johnnie (2007) Exploring the weekend effect in a market for state contingent claims At 22nd European Conference on Operational Research (EURO XXII). 08 - 11 Jul 2007.

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Description/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.

Item Type: Conference or Workshop Item (Paper)
Venue - Dates: 22nd European Conference on Operational Research (EURO XXII), 2007-07-08 - 2007-07-11
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Keywords: finance and banking, or in sports, forecasting
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ePrint ID: 51324
Date :
Date Event
9 July 2007Published
Date Deposited: 07 Jul 2008
Last Modified: 16 Apr 2017 18:05
Further Information:Google Scholar
URI: http://eprints.soton.ac.uk/id/eprint/51324

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