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Towards a methodology for measuring the true degree of efficiency in a speculative market / S. Lessmann in Journal of the operational research society (JORS), Vol. 62 N° 12 (Décembre 2011) 

Public ISBD [article]  in Journal of the operational research society (JORS) > Vol. 62 N° 12 (Décembre 2011) . - pp. 2120–2132 Titre : Towards a methodology for measuring the true degree of efficiency in a speculative market Type de document : texte imprimé Auteurs : S. Lessmann, Auteur ; M-C. Sung, Auteur ; J. E. V. Johnson, Auteur Année de publication : 2011 Article en page(s) : pp. 2120–2132 Note générale : Recherche opérationnelle Langues : Anglais (eng) Mots-clés : Forecasting  accuracy  Market  efficiency  Point  estimates  Betting  markets Index. décimale : 001.424 Résumé : Betting markets have drawn much attention in the economics, finance and operational research literature because they provide a valuable window on the manner in which individuals use information in wider financial markets. One question that has received particular attention is to what extent individuals discount information in market prices. The predominant approach to explore this issue involves predictive modeling to forecast market outcomes and examining empirically whether abnormal returns can be made by employing these forecasts. It is argued here that present practices to assess such forecasting models, including the use of point estimates and information, which would not be available in practice (at the forecasting stage) and failing to update forecasting models with information from the recent past, may give rise to misleading conclusions regarding a market's informational efficiency. Hypotheses are developed to conceptualize these views and are tested by means of extensive empirical experimentation using real-world data from the Hong Kong horserace betting market. Our study identifies several sources of bias and confirms that current practices may not be relied upon. A more appropriate modeling procedure for assessing the true degree of market efficiency is then proposed. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v62/n12/abs/jors2010192a.html [article] Towards a methodology for measuring the true degree of efficiency in a speculative market [texte imprimé] / S. Lessmann, Auteur ; M-C. Sung, Auteur ; J. E. V. Johnson, Auteur . - 2011 . - pp. 2120–2132. Recherche opérationnelle Langues : Anglais (eng) in Journal of the operational research society (JORS) > Vol. 62 N° 12 (Décembre 2011) . - pp. 2120–2132 Mots-clés : Forecasting  accuracy  Market  efficiency  Point  estimates  Betting  markets Index. décimale : 001.424 Résumé : Betting markets have drawn much attention in the economics, finance and operational research literature because they provide a valuable window on the manner in which individuals use information in wider financial markets. One question that has received particular attention is to what extent individuals discount information in market prices. The predominant approach to explore this issue involves predictive modeling to forecast market outcomes and examining empirically whether abnormal returns can be made by employing these forecasts. It is argued here that present practices to assess such forecasting models, including the use of point estimates and information, which would not be available in practice (at the forecasting stage) and failing to update forecasting models with information from the recent past, may give rise to misleading conclusions regarding a market's informational efficiency. Hypotheses are developed to conceptualize these views and are tested by means of extensive empirical experimentation using real-world data from the Hong Kong horserace betting market. Our study identifies several sources of bias and confirms that current practices may not be relied upon. A more appropriate modeling procedure for assessing the true degree of market efficiency is then proposed. DEWEY : 001.424 ISSN : 0160-5682 En ligne : http://www.palgrave-journals.com/jors/journal/v62/n12/abs/jors2010192a.html