Market movers and tote and bookmakers returns: further empirical evidence on a market anomaly

Authors
Peel, DA Law, D Cain, M
Citation
Da. Peel et al., Market movers and tote and bookmakers returns: further empirical evidence on a market anomaly, APPL ECON L, 6(12), 1999, pp. 801-804
Citations number
12
Categorie Soggetti
Economics
Journal title
APPLIED ECONOMICS LETTERS
ISSN journal
13504851 → ACNP
Volume
6
Issue
12
Year of publication
1999
Pages
801 - 804
Database
ISI
SICI code
1350-4851(199912)6:12<801:MMATAB>2.0.ZU;2-E
Abstract
This letter provides empiricial evidence on the impact of market movements in odds between opening and closing prices on relative tote and bookmaker r eturns when explicit allowence is made for insider trading. The results sup port an asymetric impact and are not readily reconcilable with market effci ency.