Information Efficiency in Financial and Betting Markets

Leighton Vaughan Williams

404 pages, parution le 07/12/2005

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Résumé

The degree to which markets incorporate information is one of the most important questions facing economists today. This book provides a fascinating study of the existence and extent of information efficiency in financial markets, with a special focus on betting markets. Betting markets are selected for study because they incorporate features highly appropriate to a study of information efficiency, in particular the fact that each bet has a well-defined end point at which its value becomes certain. Using international examples, this is the first book to review and analyse the issue of information efficiency in both financial and betting markets. Part I is an extensive survey of the existing literature, while Part II presents a range of new readings by leading academics. Insights gained from the book will interest students of financial economics, financial market analysts, mathematicians and statisticians, and all those with a special interest in finance or gambling.

The most extensive survey of the literature on information efficiency
The first book to focus on betting markets as well as financial markets
Wide disciplinary appeal - finance, economics, public policy and mathematics

Sommaire

The Concept of information efficiency
- Information efficiency in financial markets
- Weak form information efficiency in betting markets
- Semi-strong and strong form information efficiency in betting markets
- An assessment of quasi-arbitrage opportunities in two fixed odds horse race betting markets Michael A. Smith, David Paton and Leighton Vaughan Williams
Selected Readings
- The presence of favourites and biases in bookmakers' odds William Collier and John Peirson
- Searching for semi-strong form inefficiency in the UK racetrack betting market Ming-Chien Sung, Johnnie E. V. Johnson and Alistair Bruce
- Models, markets, polls and pundits: a case study of information efficiency Leighton Vaughan Williams
- Longshot bias: insights from the betting market on men's professional tennis David Forrest and Ian McHale
- Biases and insider trading in exotic bets on thoroughbreds Les Coleman and Martin McGrath
- On the improbability of informationally efficient parimutuel markets in the presence of heterogeneous beliefs Bill Hurley and Lawrence McDonough
- Modelling gambling demand in a laboratory casino: discovering the importance of individual-specific effects W. David Walls and Patrick J. Harvey
- Market efficiency of the 50-30-20 horse-race spread betting market Paul Twomey
- Insider-trading and bias in a market for state-contingent claims Adi Schnytzer and Yuval Shilony
- Rationality and efficiency in Lotto games Victor Matheson and Kent Grote
- Efficiency of the odds on professional football matches David Forrest and Rob Simmons
- Modelling distance preference in flat racing via velocity David Edelman
- Testing for market efficiency in gambling markets: some observations and new statistical tests based on a bootstrap method Ivan Paya, David Peel, David Law and John Peirson
- Information (in)efficiency in prediction markets Erik Snowberg, Justin Wolfers and Eric Zitzewitz

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Caractéristiques techniques

	PAPIER
Éditeur(s)	Cambridge University Press
Auteur(s)	Leighton Vaughan Williams
Parution	07/12/2005
Nb. de pages	404
Format	16 x 23,5
Couverture	Relié
Poids	780g
Intérieur	Noir et Blanc
EAN13	9780521816038
ISBN13	978-0-521-81603-8