The market impact of trends and sequences in performance: New evidence

Gregory R. Durham; Michael Hertzel; J. Spencer Martin

doi:10.1111/j.1540-6261.2005.00807.x

The market impact of trends and sequences in performance: New evidence

Gregory R. Durham, Michael Hertzel, J. Spencer Martin

Finance

Research output: Contribution to journal › Review article › peer-review

28 Scopus citations

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.

Original language	English (US)
Pages (from-to)	2551-2569
Number of pages	19
Journal	Journal of Finance
Volume	60
Issue number	5
DOIs	https://doi.org/10.1111/j.1540-6261.2005.00807.x
State	Published - Oct 2005

ASJC Scopus subject areas

Accounting
Finance
Economics and Econometrics

Access to Document

10.1111/j.1540-6261.2005.00807.x

Cite this

@article{dd56bfffca47422b8354d73897bf326f,

title = "The market impact of trends and sequences in performance: New evidence",

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.",

author = "Durham, {Gregory R.} and Michael Hertzel and Martin, {J. Spencer}",

year = "2005",

month = oct,

doi = "10.1111/j.1540-6261.2005.00807.x",

language = "English (US)",

volume = "60",

pages = "2551--2569",

journal = "Journal of Finance",

issn = "0022-1082",

publisher = "Wiley-Blackwell",

number = "5",

}

TY - JOUR

T1 - The market impact of trends and sequences in performance

T2 - New evidence

AU - Durham, Gregory R.

AU - Hertzel, Michael

AU - Martin, J. Spencer

PY - 2005/10

Y1 - 2005/10

N2 - 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.

AB - 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.

UR - http://www.scopus.com/inward/record.url?scp=25844492644&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=25844492644&partnerID=8YFLogxK

U2 - 10.1111/j.1540-6261.2005.00807.x

DO - 10.1111/j.1540-6261.2005.00807.x

M3 - Review article

AN - SCOPUS:25844492644

SN - 0022-1082

VL - 60

SP - 2551

EP - 2569

JO - Journal of Finance

JF - Journal of Finance

IS - 5

ER -

The market impact of trends and sequences in performance: New evidence

Abstract

ASJC Scopus subject areas

Access to Document

Other files and links

Fingerprint

Cite this