The Market Impact of Trends and Sequences in Performance: New Evidence

Posted: 30 Dec 2004

See all articles by Greg R. Durham

Greg R. Durham

Montana State University - Bozeman - College of Business

Michael G. Hertzel

Arizona State University (ASU) - Finance Department

J. Spencer Martin

University of Melbourne - Faculty of Business and Economics; Financial Research Network (FIRN)

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Abstract

Bloomfield and Hales (2002) find strong evidence that experimental market subjects are influenced by trends and patterns in a manner supportive of the shifting regimes model of Barberis, Shleifer, and Vishny (1998). We subject the model to further empirical scrutiny using the football wagering market as our price laboratory. Sports betting markets have several advantages over traditional capital markets as an empirical setting, and commonalities with traditional markets allow for useful insights. We find scant evidence that investors behave in accordance with the model.

Keywords: Behavioral finance, sports wagering, efficient markets, asset pricing

JEL Classification: G12, G14

Suggested Citation

Durham, Greg R. and Hertzel, Michael G. and Martin, J. Spencer, The Market Impact of Trends and Sequences in Performance: New Evidence. Available at SSRN: https://ssrn.com/abstract=636882

Greg R. Durham (Contact Author)

Montana State University - Bozeman - College of Business ( email )

446 Reid Hall
Bozeman, MT 59715
United States

Michael G. Hertzel

Arizona State University (ASU) - Finance Department ( email )

W. P. Carey School of Business
P.O. Box 873906
Tempe, AZ 85287-3906
United States
480-965-6869 (Phone)
602-965-8539 (Fax)

J. Spencer Martin

University of Melbourne - Faculty of Business and Economics ( email )

Faculty of Economics and Commerce
Parkville, Victoria 3010 3010
Australia

Financial Research Network (FIRN)

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

HOME PAGE: http://www.firn.org.au

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