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

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

Research output: Contribution to journalReview articlepeer-review

22 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 languageEnglish (US)
Pages (from-to)2551-2569
Number of pages19
JournalJournal of Finance
Volume60
Issue number5
DOIs
StatePublished - Oct 1 2005

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

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