THREE ESSAYS IN MARKET EFFICIENCY: AN EXAMINATION OF MARKET REACTION TO INFORMATION
1 online resource (165 pages) : PDF
University of North Carolina at Charlotte
The efficient market hypothesis (EMH) examines how quickly and accurately information is reflected in a security price, and as a result, it has become one of the primary areas of focus in financial literature. I explore three problems regarding the release of information and the impact it has on price. First, I show that securities' prices are influenced by the introduction of other securities. The offering of betting lines does influence the accuracy of pricing; however, the unbiasedness seems unaffected. Additionally, I find evidence of the linear relationship between the money line and sides line, similar to the security market line, ends up breaking down as a result of the bookmaker offering a higher payout in the money line to the favorite team in order to entice bettors. Next, I examine if winning or losing influences sports clubs' financial performance. While there is literature, with mixed results, that examine the market reaction to winning and losing for publicly-traded clubs, the question; does winning influence the clubs' financial performance has been sidestepped. Results from English soccer clubs suggest that match performance does impact a club's operating income, but the impact differs for "elite" and "non-elite" clubs. Lastly, utilizing English soccer club data again, I reexamine market reaction to good and bad news by looking at matches where both clubs were publicly-traded - seeing the market's reaction to the win and the loss simultaneously. While my results contradict previous literature, that the market reacts to good news faster, this is because I find that losing is a stronger signal.
BETTING MARKETSMARKET EFFICIENCYMARKET REACTIONSPORTS FINANCEUNBIASEDNESS
Clark, StevenDepken II, Craig
Gandar, JohnSwindell, David
Thesis (Ph.D.)--University of North Carolina at Charlotte, 2012.
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