Johnson, Johnnie and Jones, Owen and Tang, Leilei (2006) Exploring decision makers use of price information in an efficient speculative market. Management Science, 52 (6). pp. 897-908. ISSN 0025-1909
Full text not available in this repository. (Request a copy from the Strathclyde author)Abstract
We explore the extent to which the decisions of participants in a speculative market effectively account for information contained in prices and price movements. The horse race betting market is an ideal environment to explore these issues. A conditional logit model is constructed to determine winning probabilities based on bookmakers' closing prices and the time-indexed movement of prices to the market close. We incorporate a technique for extracting predictors from price (odds) curves using orthogonal polynomials. The results indicate that closing prices do not fully incorporate market price information, particularly information that is less readily discernable by market participants.
| Item type: | Article |
|---|---|
| ID code: | 3631 |
| Keywords: | decision makers, price information, speculative market, Finance |
| Subjects: | Social Sciences > Finance |
| Department: | Strathclyde Business School > Accounting and Finance |
| Related URLs: | |
| Depositing user: | Strathprints Administrator |
| Date Deposited: | 04 Jul 2007 |
| Last modified: | 12 Mar 2012 10:39 |
| URI: | http://strathprints.strath.ac.uk/id/eprint/3631 |
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