Informational efficiency and behaviour within in-play prediction markets

Downloads

• Ali, M. M. 1977. “Probability and Utility Estimates for Racetrack Bettors.” Journal of Political Economy, 85(4): 803–815. • Angelini, G., and L. De Angelis. 2019. “Efficiency of online football betting markets.” International Journal of Forecasting, 35(2): 712–721. • Brooks, R. M., A. Patel, and T. Su. 2003. “How the Equity Market Responds to Unanticipated Events.” The Journal of Business, 76(1): 109–134. • Brown, A. 2013. “Information Processing Constraints and Asset Mispricing.” The Economic Journal, 124(575): 245–268. • Brown, A. 2015. “Information Acquisition in Ostensibly Efficient Markets.” Economica, 82(327): 420–447. • Bruce, A. C., J. E. V. Johnson, J. D. Peirson, and J. Yu. 2009. “An Examination of the Determinants of Biased Behaviour in a Market for State Contingent Claims.” Economica, 76(302): 282–303. • Cain, M., D. Law, and D. Peel. 2000. “The Favourite-Longshot Bias and Market Efficiency in UK Football Betting.” Scottish Journal of Political Economy, 47(1): 25–36. • Chan, W. S. 2003. “Stock price reaction to news and no-news: drift and reversal after headlines.” Journal of Financial Economics, 70(2): 223–260. • Choi, D., and S. K. Hui. 2014. “The role of surprise: Understanding overreaction and underreaction to unanticipated events using in-play soccer betting market.” Journal of Economic Behavior & Organization, 107(PB): 614–629. • Cowgill, B., and E. Zitzewitz. 2015. “Corporate Prediction Markets: Evidence from Google, Ford, and Firm X.” The Review of Economic Studies, 82(4): 1309–1341. • Croxson, K., and J. J. Reade. 2014. “Information and Efficiency: Goal Arrival in Soccer Betting.” The Economic Journal, 124(575): 62–91. • De Bondt, W. F. M., and R. Thaler. 1985. “Does the Stock Market Overreact?” Journal of Finance, 40(3): 793–805. • De Bondt, W. F. M., and R. Thaler. 1990. “Do Security Analysts Overreact?” American Economic Review, 80(2): 52–57. • Deschamps, B., and O. Gergaud. 2007. “Efficiency in Betting Markets: Evidence from English Football.” Journal of Prediction Markets, 1(1): 61–73. • Deutscher, C., B. Frick, and M. Otting. ¨ 2018. “Betting market inefficiencies are short-lived in German professional football.” Applied Economics, 50(30): 3240–3246. • Direr, A. 2013. “Are betting markets efficient? Evidence from European Football Championships.” Applied Economics, 45(3): 343–356. • Fama, E. F. 1965. “The Behavior of Stock-Market Prices.” The Journal of Business, 38(1): 34–105. • Fama, E. F. 1970. “Efficient Capital Markets: A Review of Theory and Empirical Work.” Journal of Finance, 25(2): 383–417. • Flepp, R., S. N¨uesch, and E. Franck. 2017. “The liquidity advantage of the quote-driven market: Evidence from the betting industry.” The Quarterly Review of Economics and Finance, 64 306–317. Forrest, D., J. Goddard, and R. Simmons. 2005. “Odds-setters as forecasters: The case of English football.” International Journal of Forecasting, 21(3): 551–564. • Franck, E., E. Verbeek, and S. N¨uesch. 2010. “Prediction accuracy of different market structures – bookmakers versus a betting exchange.” International Journal of Forecasting, 26(3): 448–459. • Franck, E., E. Verbeek, and S. N¨uesch. 2013. “Inter-market Arbitrage in Betting.” Economica, 80(318): 300–325. • Golec, J., and M. Tamarkin. 1991. “The degree of inefficiency in the football betting market: Statistical tests.” Journal of Financial Economics, 30(2): 311–323. • He, X.-Z., and N. Treich. 2017. “Prediction market prices under risk aversion and heterogeneous beliefs.” Journal of Mathematical Economics, 70(C): 105–114. • Ioannidis, C., and D. Peel. 2005. “Testing for market efficiency in gambling markets when the errors are non-normal and heteroskedastic an application of the wild bootstrap.” Economics Letters, 87(2): 221–226. • Kahneman, D., and A. Tversky. 1973. “On the psychology of prediction.” Psychological Review, 80(4): 237–251. • Koessler, F., C. Noussair, and A. Ziegelmeyer. 2012. “Information aggregation and belief elicitation in experimental parimutuel betting markets.” Journal of Economic Behavior & Organization, 83(2): 195 – 208. • Kuypers, T. 2000. “Information and efficiency: an empirical study of a fixed odds betting market.” Applied Economics, 32(11): 1353–1363. • Levitt, S. D. 2004. “Why are gambling markets organised so differently from financial markets?” The Economic Journal, 114(495): 223–246. • Lim, K.-P., and R. Brooks. 2011. “The Evolution Of Stock Market Efficiency Over Time: A Survey of the Empirical Literature.” Journal of Economic Surveys, 25(1): 69–108. • List, J. A. 2004. “Testing Neoclassical Competitive Theory in Multilateral Decentralized Markets.” Journal of Political Economy, 112(5): 1131–1156. • Malkiel, B. G. 2003. “The Efficient Market Hypothesis and Its Critics.” Journal of Economic Perspectives, 17(1): 59–82. • Manski, C. 2006. “Interpreting the predictions of prediction markets.” Economics Letters, 91(3): 425–429. • Mincer, J., and V. Zarnowitz. 1969. “The evaluation of economic forecasts.” In Economic Forecasts and Expectations: Analysis of Forecasting Behavior and Performance. NBER, 1–46. • Na, S., Y. Su, and T. Kunkel. 2019. “Do not bet on your favourite football team: the influence of fan identity-based biases and sport context knowledge on game prediction accuracy.” European Sport Management Quarterly, 19(3): 396–418. • Nevill, A. M., and R. L. Holder. 1999. “Home advantage in sport.” Sports Medicine, 28(4): 221–236. • Newall, P. W. S., and D. Cortis. 2021. “Are Sports Bettors Biased toward Longshots, Favorites, or Both? A Literature Review.” Risks, 9(1): . • Ottaviani, M., and P. N. Sørensen. 2008. “The Favorite-Longshot Bias: An Overview of the Main Explanations.” In Handbook of Sports and Lottery Markets. Eds. by D. B. Hausch, and W. T. Ziemba, San Diego Elsevier, 83 – 101. • Ottaviani, M., and P. N. Sørensen. 2015. “Price Reaction to Information with Heterogeneous Beliefs and Wealth Effects: Underreaction, Momentum, and Reversal.” American Economic Review, 105(1): 1–34. • Page, L., and R. T. Clemen. 2012. “Do Prediction Markets Produce Well-Calibrated Probability Forecasts?” The Economic Journal, 123(568): 491–513. • Plott, C. R., J. Wit, and W. C. Yang. 2003. “Parimutuel betting markets as information aggregation devices: experimental results.” Economic Theory, 22(2): 311–351. • Plott, C., and S. Sunder. 1988. “Rational Expectations and the Aggregation of Diverse Information in Laboratory Security Markets.” Econometrica, 56(5): 1085–1118. • Pope, P. F., and D. A. Peel. 1989. “Information, Prices and Efficiency in a Fixed-Odds Betting Market.” Economica, 56(223): 323–341. • Rabin, M. 1998. “Psychology and Economics.” Journal of Economic Literature, 36(1): 11–46. • Reade, J. 2014. “Information And Predictability: Bookmakers, Prediction Markets And Tipsters As Forecasters.” Journal of Prediction Markets, 8(1): 43–76. • Smith, M. A., D. Paton, and L. Vaughan Williams. 2006. “Market Efficiency in Person-to-Person Betting.” Economica, 73(292): 673–689. • Smith, M. A., D. Paton, and L. Vaughan Williams. 2009. “Do bookmakers possess superior skills to bettors in predicting outcomes?” Journal of Economic Behavior & Organization, 71(2): 539–549. • Snowberg, E., and J. Wolfers. 2010. “Explaining the Favorite-Long Shot Bias: Is it Risk-Love or Misperceptions?” Journal of Political Economy, 118(4): 723–746. • Thaler, R., and W. T. Ziemba. 1988. “Parimutuel Betting Markets: Racetracks and Lotteries.” Journal of Economic Perspectives, 2(2): 161–74. • Vaughan Williams, L. 2005. Information Efficiency in Financial and Betting Markets. Cambridge University Press. • Vaughan Williams, L., M. Sung, P. A. F. Fraser-Mackenzie, J. Peirson, and J. E. V. Johnson. 2018. “Towards an Understanding of the Origins of the Favourite–Longshot Bias: Evidence from Online Poker Markets, a Real-money Natural Laboratory.” Economica, 85(338): 360–382. • Vlastakis, N., G. Dotsis, and R. N. Markellos. 2009. “How efficient is the European football betting market? Evidence from arbitrage and trading strategies.” Journal of Forecasting, 28(5): 426–444. • Wason, P. C. 1960. “On the failure to eliminate hypotheses in a conceptual task.” Quarterly Journal of Experimental Psychology, 12(3): 129–140. • Wolfers, J., and E. Zitzewitz. 2006. “Interpreting Prediction Market Prices as Probabilities.” NBER Working Papers 12200, National Bureau of Economic Research, Inc. • Woodland, L. M., and B. M. Woodland. 1994. “ Market Efficiency and the Favorite-Longshot Bias: The Baseball Betting Market.” Journal of Finance, 49(1): 269–279. • Ziemba, W. T. 2020. “Parimutuel betting markets: racetracks and lotteries revisited.” SRC Discussion Paper 103, Systemic Risk Centre, London School of Economics.