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Prices Of State Contingent Claims With Insider Traders, And The Favourite-Longshot Bias

In: Efficiency Of Racetrack Betting Markets

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  • Hyun Song Shin

    (Department of Economics, University College, Oxford University, Oxford, UK)

Abstract

AbstractThe following sections are included:THE MODELDERVIATION OF EQUILIBRIUM PRICESA MORE GENERAL ARGUMENTCONCLUDING REMARKSAPPENDIXReferences

Suggested Citation

  • Hyun Song Shin, 2008. "Prices Of State Contingent Claims With Insider Traders, And The Favourite-Longshot Bias," World Scientific Book Chapters,in: Efficiency Of Racetrack Betting Markets, chapter 34, pages 343-352 World Scientific Publishing Co. Pte. Ltd..
  • Handle: RePEc:wsi:wschap:9789812819192_0034
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    Cited by:

    1. Jeremy Sandford & Paul Shea, 2013. "Optimal Setting of Point Spreads," Economica, London School of Economics and Political Science, vol. 80(317), pages 149-170, January.
    2. Parimal Kanti Bag & Bibhas Saha, 2010. "Betting in the Shadow of Match-Fixing," University of East Anglia Applied and Financial Economics Working Paper Series 011, School of Economics, University of East Anglia, Norwich, UK..
    3. M. Sung & J. E. V. Johnson, 2010. "Revealing Weak-Form Inefficiency in a Market for State Contingent Claims: The Importance of Market Ecology, Modelling Procedures and Investment Strategies," Economica, London School of Economics and Political Science, vol. 77(305), pages 128-147, January.
    4. Schnytzer, Adi & Lamers, Martien & Makropoulou, Vasiliki, 2010. "The impact of insider trading on forecasting in a bookmakers' horse betting market," International Journal of Forecasting, Elsevier, vol. 26(3), pages 537-542, July.
    5. Babatunde Buraimo & David Peel & Rob Simmons, 2013. "Systematic Positive Expected Returns in the UK Fixed Odds Betting Market: An Analysis of the Fink Tank Predictions," International Journal of Financial Studies, MDPI, Open Access Journal, vol. 1(4), pages 1-15, December.
    6. McAlvanah, Patrick & Moul, Charles C., 2013. "The house doesn’t always win: Evidence of anchoring among Australian bookies," Journal of Economic Behavior & Organization, Elsevier, vol. 90(C), pages 87-99.
    7. Glenn Boyle, 2008. "Do Financial Incentives Affect The Quality of Expert Performance? Evidence from the Racetrack," Journal of Gambling Business and Economics, University of Buckingham Press, vol. 2(2), pages 43-59, September.
    8. repec:eee:ejores:v:270:y:2018:i:2:p:556-569 is not listed on IDEAS
    9. Dixon, Mark J. & Pope, Peter F., 2004. "The value of statistical forecasts in the UK association football betting market," International Journal of Forecasting, Elsevier, vol. 20(4), pages 697-711.
    10. Feess, Eberhard & Müller, Helge & Schumacher, Christoph, 2016. "Estimating risk preferences of bettors with different bet sizes," European Journal of Operational Research, Elsevier, vol. 249(3), pages 1102-1112.
    11. Jullien, Bruno & Salanié, Bernard, 2005. "Empirical Evidence on the Preferences of Racetrack Bettors," IDEI Working Papers 178, Institut d'Économie Industrielle (IDEI), Toulouse.
    12. Egon Franck & Erwin Verbeek & Stephan Nüesch, 2013. "Inter-market Arbitrage in Betting," Economica, London School of Economics and Political Science, vol. 80(318), pages 300-325, April.
    13. D. A. Peel & D. Law & M. Cain, 1999. "Market movers and tote and bookmakers returns: further empirical evidence on a market anomaly," Applied Economics Letters, Taylor & Francis Journals, vol. 6(12), pages 801-804.
    14. Williams, Leighton Vaughan & Paton, David, 1997. "Why Is There a Favourite-Longshot Bias in British Racetrack Betting Markets?," Economic Journal, Royal Economic Society, vol. 107(440), pages 150-158, January.
    15. Michael A. Smith & David Paton & Leighton Vaughan-Williams, 2004. "Costs, biases and betting markets: new evidence," Working Papers 2004/5, Nottingham Trent University, Nottingham Business School, Economics Division.
    16. Hassett, Kevin & Zhong, Weifeng, 2017. "On the Observational Implications of Knightian Uncertainty," MPRA Paper 82998, University Library of Munich, Germany.
    17. Ioannis Asimakopoulos & John Goddard, 2004. "Forecasting football results and the efficiency of fixed-odds betting," Journal of Forecasting, John Wiley & Sons, Ltd., vol. 23(1), pages 51-66.
    18. Michael Cain & David Law & David Peel, 2002. "Is one price enough to value a state-contingent asset correctly? Evidence from a gambling market," Applied Financial Economics, Taylor & Francis Journals, vol. 12(1), pages 33-38.
    19. Charles Moul & Joseph Keller, 2014. "Time to Unbridle U.S. Thoroughbred Racetracks? Lessons from Australian Bookies," Review of Industrial Organization, Springer;The Industrial Organization Society, vol. 44(3), pages 211-239, May.
    20. John Peirson, 2008. "Expert Analysis and Insider Information in Horse Race Betting: Regulating Informed Market Behaviour," Studies in Economics 0819, School of Economics, University of Kent.
    21. M. Cain & D. Law & D. A. Peel, 2003. "Some analysis of the properties of the Harville place formulae when allowance is made for the favourite-long shot bias employing Shin Win probabilities," Applied Economics Letters, Taylor & Francis Journals, vol. 10(1), pages 53-57.
    22. Bag, Parimal Kanti & Saha, Bibhas, 2011. "Match-fixing under competitive odds," Games and Economic Behavior, Elsevier, vol. 73(2), pages 318-344.
    23. Stefan Winter & Martin Kukuk, 2008. "Do horses like vodka and sponging? - On market manipulation and the favourite-longshot bias," Applied Economics, Taylor & Francis Journals, vol. 40(1), pages 75-87.

    More about this item

    Keywords

    Racetrack Efficiency; Racetrack Betting Market; Racetrack Betting; Win Market; Finance;

    JEL classification:

    • C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
    • C7 - Mathematical and Quantitative Methods - - Game Theory and Bargaining Theory
    • B23 - Schools of Economic Thought and Methodology - - History of Economic Thought since 1925 - - - Econometrics; Quantitative and Mathematical Studies
    • F65 - International Economics - - Economic Impacts of Globalization - - - Finance

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