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The Market Impact of Trends and Sequences in Performance: New Evidence

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  • GREGORY R. DURHAM
  • MICHAEL G. HERTZEL
  • J. SPENCER MARTIN

Abstract

Bloomfield and Hales (2002) find strong evidence that experimental market subjects are influenced by trends and patterns in a manner supportive of the shifting regimes model of Barberis, Shleifer, and Vishny (1998). We subject the model to further empirical scrutiny using the football wagering market as our price laboratory. Sports betting markets have several advantages over traditional capital markets as an empirical setting, and commonalities with traditional markets allow for useful insights. We find scant evidence that investors behave in accordance with the model.

Suggested Citation

  • Gregory R. Durham & Michael G. Hertzel & J. Spencer Martin, 2005. "The Market Impact of Trends and Sequences in Performance: New Evidence," Journal of Finance, American Finance Association, vol. 60(5), pages 2551-2569, October.
    • Handle: RePEc:bla:jfinan:v:60:y:2005:i:5:p:2551-2569
    DOI: 10.1111/j.1540-6261.2005.00807.x
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