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Testing Efficiency Across Markets: Evidence from the NCAA Basketball Betting Market
Author(s) -
Colquitt L. Lee,
Godwin Norman H.,
Caudill Steven B.
Publication year - 2001
Publication title -
journal of business finance and accounting
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 1.282
H-Index - 77
eISSN - 1468-5957
pISSN - 0306-686X
DOI - 10.1111/1468-5957.00372
Subject(s) - basketball , stock (firearms) , differential (mechanical device) , economics , point (geometry) , market efficiency , stock market , financial economics , econometrics , biology , mathematics , mechanical engineering , paleontology , geometry , archaeology , horse , engineering , aerospace engineering , history
This study utilizes the National Collegiate Athletic Association basketball point spread betting market to investigate whether differences in information availability across markets result in different relative efficiencies of price formation within those markets. Using intra‐conference games of various conferences as clearly defined markets, we show that these markets are efficient given the information available in those markets. However, we also show that regression error variances are significantly smaller (greater) for those conferences with greater (lesser) information availability. This evidence supports previous stock market research suggesting that differential fundamental information availability across stock markets results in differential departures from equilibrium values.