Information Efficiency in Financial and Betting Markets

doi:10.1017/CBO9780511493614

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 book reviews and analyses 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 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.

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Contents

Frontmatter
pp i-vi
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Contents
pp vii-viii
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List of figures
pp ix-x
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List of tables
pp xi-xii
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List of contributors
pp xiii-xviii
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Introduction
pp 1-2
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Part I - The concept of information efficiency
pp 3-4
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1 - Information efficiency in financial markets
pp 5-83
- By Leighton Vaughan Williams, Professor of Economics and Finance Nottingham Business School Nottingham Trent University
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2 - Weak form information efficiency in betting markets
pp 84-122
- By Leighton Vaughan Williams, Professor of Economics and Finance Nottingham Business School Nottingham Trent University
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3 - Semi-strong and strong form information efficiency in betting markets
pp 123-156
- By Leighton Vaughan Williams, Professor of Economics and Finance Nottingham Business School Nottingham Trent University
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Part II - Selected readings
pp 157-158
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4 - An assessment of quasi-arbitrage opportunities in two fixed-odds horse-race betting markets
pp 159-171
- By Michael A. Smith, Senior Lecturer Canterbury Christ Church University, David Paton, Professor Nottingham University, Leighton Vaughan Williams, Professor Nottingham Trent University
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5 - The presence of favourites and biases in bookmakers' odds
pp 172-178
- By William Collier, Lecturer in Economics University of Kent, John Peirson, Director University of Kent
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6 - Searching for semi-strong form inefficiency in the UK racetrack betting market
pp 179-192
- By Ming-Chien Sung, PhD student in the Centre for Risk Research School of Management at the University of Southampton, Johnnie E. V. Johnson, Professor of Decision and Risk Analysis and Director of the Centre for Risk Research School of Management at the University of Southampton, Alistair C. Bruce, Director of Nottingham University Business School
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7 - Models, markets, polls and pundits: a case study of information efficiency
pp 193-214
- By Leighton Vaughan Williams, Professor of Economics and Finance Nottingham Business School Nottingham Trent University
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8 - Longshot bias: insights from the betting market on men's professional tennis
pp 215-230
- By David Forrest, Senior Lecturer in Economics University of Salford, Ian McHale, Lecturer in Applied Statistics University of Salford
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9 - Biases and insider trading in exotic bets on thoroughbreds
pp 231-246
- By Les Coleman, Lecturer in Finance Unversity of Melbourne, Martin McGrath, IT Consultant
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10 - On the improbability of information efficient parimutuel betting markets in the presence of heterogeneous beliefs
pp 247-261
- By William Hurley, Professor Department of Business Administration Royal Military College Canada, Lawrence McDonough, Professor Department of Politics and Economics Royal Military College Canada
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11 - Modelling gambling demand in a laboratory casino: discovering the importance of individual-specific effects
pp 262-276
- By W. David Walls, Professor of Economics and Academic Director University of Calgary, Patrick J. Harvey, Adjunct Associate Professor Hong Kong University of Science and Technology
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12 - Market efficiency of the 50–30–20–10 horse-racing spread betting market
pp 277-286
- By Paul M. Twomey
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13 - Insider trading and bias in a market for state-contingent claims
pp 287-312
- By Adi Schnytzer, Associate Professor Department of Economics Bar-Ilan University Israel, Yuval Shilony, Department of Economics Bar-Ilan University Israel
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14 - Rationality and efficiency in lotto games
pp 313-329
- By Victor A. Matheson, Kent R. Grote
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15 - Efficiency of the odds on English professional football matches
pp 330-338
- By David Forrest, Senior Lecturer in Economics University of Salford, Robert Simmons, Senior Lecturer in Economics Lancaster University Management School
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16 - Modelling distance preference in flat racing via average velocity
pp 339-345
- By David Edelman, University College Dublin
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17 - Testing for market efficiency in gambling markets: some observations and new statistical tests based on a bootstrap method
pp 346-365
- By Ivan. A. Paya, Assistant Professor University of Alicante Spain, David. A. Peel, Professor of Economics Lancaster University Management School, David. Law, Lectures in Economics University of Wales Bangor, John. Peirson, Director University of Kent
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18 - Information (in)efficiency in prediction markets
pp 366-386
- By Erik Snowberg, Economist, Justin Wolfers, Assistant Professor of Business and Public Policy Wharton School University of Pennsylvania, Eric Zitzewitz, Assistant Professor of Economics Stanford Business School
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Index
pp 387-392
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Information Efficiency in Financial and Betting Markets

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Contents

Frontmatter
pp i-vi

Contents
pp vii-viii

List of figures
pp ix-x

List of tables
pp xi-xii

List of contributors
pp xiii-xviii

Introduction
pp 1-2

Part I - The concept of information efficiency
pp 3-4

1 - Information efficiency in financial markets
pp 5-83

2 - Weak form information efficiency in betting markets
pp 84-122

3 - Semi-strong and strong form information efficiency in betting markets
pp 123-156

Part II - Selected readings
pp 157-158

4 - An assessment of quasi-arbitrage opportunities in two fixed-odds horse-race betting markets
pp 159-171

5 - The presence of favourites and biases in bookmakers' odds
pp 172-178

6 - Searching for semi-strong form inefficiency in the UK racetrack betting market
pp 179-192

7 - Models, markets, polls and pundits: a case study of information efficiency
pp 193-214

8 - Longshot bias: insights from the betting market on men's professional tennis
pp 215-230

9 - Biases and insider trading in exotic bets on thoroughbreds
pp 231-246

10 - On the improbability of information efficient parimutuel betting markets in the presence of heterogeneous beliefs
pp 247-261

11 - Modelling gambling demand in a laboratory casino: discovering the importance of individual-specific effects
pp 262-276

12 - Market efficiency of the 50–30–20–10 horse-racing spread betting market
pp 277-286

13 - Insider trading and bias in a market for state-contingent claims
pp 287-312

14 - Rationality and efficiency in lotto games
pp 313-329

15 - Efficiency of the odds on English professional football matches
pp 330-338

16 - Modelling distance preference in flat racing via average velocity
pp 339-345

17 - Testing for market efficiency in gambling markets: some observations and new statistical tests based on a bootstrap method
pp 346-365

18 - Information (in)efficiency in prediction markets
pp 366-386

Index
pp 387-392

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Information Efficiency in Financial and Betting Markets

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