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

Published online by Cambridge University Press:  09 July 2009

By
Ming-Chien Sung ,
Johnnie E. V. Johnson  and
Alistair C. Bruce
Edited by
Leighton Vaughan Williams
Ming-Chien Sung
Affiliation:
PhD student in the Centre for Risk Research School of Management at the University of Southampton
Johnnie E. V. Johnson
Affiliation:
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
Affiliation:
Director of Nottingham University Business School
Leighton Vaughan Williams
Affiliation:
Nottingham Trent University
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Summary

While there is a large body of literature devoted to the study of various aspects of the efficiency of betting markets, and especially horse-race betting markets, there are contexts for and forms of analysis that remain significantly underrepresented. Hence, studies which seek to identify weak form inefficiency are relatively common compared with those which investigate the presence of semi-strong or strong form inefficiency. Equally, the dominant means of analysis has been to explore opportunities for pockets of abnormal returns associated with a single variable or a closely related set of variables, rather than a wider set of factors. This study seeks to redress these imbalances in the body of empirical work by focusing on semi-strong form efficiency of horse-race betting markets, using a multi-variable approach seen previously in only a limited number of studies.

Furthermore, while the overwhelmingly dominant setting for betting market analysis has been the US parimutuel market, this contribution focuses instead on the UK bookmaker market. The appeal of investigating the UK context is based on a number of institutional factors which discriminate it markedly from the US setting and which, prima facie, might give grounds for expecting differences in efficiency characteristics.

The following section offers a brief review of the literature relating to betting market efficiency and charts those characteristics of the UK horse-race betting market context which render it distinctive from other settings for empirical enquiry.

Type
Chapter
Information
Information Efficiency in Financial and Betting Markets , pp. 179 - 192
Publisher: Cambridge University Press
Print publication year: 2005

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References

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