Market reaction to public information: The atypical case of the Boston Celtics

Journal of Financial Economics

Volumn 60, Issue 2-3, 2001, Pages 333-370

  Brown, Gregory W ^a   Hartzell, Jay C ^b  

^a UNIVERSITY OF NORTH CAROLINA   (United States)

^b NEW YORK UNIVERSITY   (United States)

Author keywords

Betting markets; Boston celtics; G14; Information effects; Investor expectations; Volatility

Indexed keywords

EID: 0012860973     PISSN: 0304405X     EISSN: None     Source Type: Journal    
DOI: 10.1016/S0304-405X(01)00047-2     Document Type: Article

References (37)

1. Amemiya T. Advanced Econometrics. 1985;Harvard University Press, Cambridge, MA.
2. Amoako-Adu B., Marmer H., Yagil J. The efficiency of certain speculative markets and gambler behavior. Journal of Economics and Business. 37:1985;365-378.
3. Ball C. Estimation bias induced by discrete security prices. Journal of Finance. 43:1988;841-865.
4. Barber B., Darrough M. Product reliability and firm value. the experience of American and Japanese automakers, 1973-1992 Journal of Political Economy. 104:1996;1084-1099.
5. Bonnier K., Bruner R. An analysis of stock price reaction to management change in distressed firms. Journal of Accounting and Economics. 11:1989;95-106.
6. Boston Celtics Limited Partnership and Subsidiaries, 1987-1997. Annual Reports. Boston, MA.
7. Brown S., Warner J. Using daily stock returns. the case of event studies Journal of Financial Economics. 14:1985;3-31.
8. Brown W., Sauer R. Fundamentals or noise? Evidence from the professional basketball betting market. Journal of Finance. 48:1993;1193-1209.
9. Camerer C. Does the basketball market believe in the hot hand? American Economic Review. 79:1989;1257-1259.
10. Canina L., Michaely R., Thaler R., Womack K. Caveat compounder. a warning about using the daily crsp equal-weighted index to compute long-run excess returns Journal of Finance. 53:1998;403-416.
11. Chang E., Jain P., Locke P. Standard & Poors 500 index futures volatility and price changes around the New York stock exchange close. Journal of Business. 68:1995;61-84.
12. Dare W., McDonald S. A generalized model for testing the home and favorite team advantage in point spread markets. Journal of Financial Economics. 40:1996;295-318.
13. Ederington L., Lee J. How markets process information. news releases and volatility Journal of Finance. 48:1993;1161-1191.
14. Fama E. Foundations of Finance. 1976;University of Chicago Press, Chicago, IL.
15. French K., Roll R. Stock return variances. the arrival of information and the reaction of traders Journal of Financial Economics. 17:1986;5-26.
16. Furtado E., Karan V. Causes, consequences, and shareholder wealth effects of management turnover. a review of the empirical evidence Financial Management. 19:1990;60-75.
17. Gandar J., Brown C., Dare W., Zuber R. Informed traders and price variations in the betting market for professional basketball games. Journal of Finance. 53:1998;385-401.
18. Gandar J., Zuber R., O'Brien T., Russo B. Testing rationality in the point spread betting market. Journal of Finance. 43:1988;995-1008.
19. Garman M., Klass M. On the estimation of security price volatilities from historical data. Journal of Business. 53:1980;67-78.
20. Golec J., Tamarkin M. The degree of inefficiency in the football betting market. Journal of Financial Economics. 30:1991;311-323.
21. Greene W. Econometric Analysis. 1993;Macmillan, New York.
22. Harris L. Stock price clustering and discreteness. Review of Financial Studies. 4:1991;389-415.
23. Hausman J., Lo A., MacKinlay A. An ordered probit analysis of transaction stock prices. Journal of Financial Economics. 3:1992;319-379.
24. Jang H., Lee J. Window dressing of daily closing bid-ask spreads. evidence from NYSE stocks Financial Analysts Journal. 51:1995;61-67.
25. Jones S., Sommerfield R. Federal taxes and management decisions. 1993;Richard D. Irwin, Inc., Homewood, IL.
26. Joy, M., Litzenberger, R., McEnally, R., 1977. The adjustment of stock prices to announcements of unanticipated changes in quarterly earnings. Journal of Accounting Research.
27. Kunitomo N. Improving the parkinson method of estimating security price volatilities. Journal of Business. 65:1992;295-302.
28. Livingston, R., 1990, 1992, 1995. The Basketball Scoreboard Book. The Sports Weekly Newsletter, N. Charleston, SC.
29. Lo A., MacKinlay A. An econometric analysis of nonsynchronous trading. Journal of Econometrics. 45:1990;181-211.
30. Malkiel, B., 1989. Efficient market hypothesis. In: Eatwell, J., Milgate, M., Newman, P. (Eds.), The New Palgrave Finance. W.W. Norton and Co., New York.
31. Parkinson M. The extreme value method for estimating the variance of the rate of return. Journal of Business. 53:1980;61-65.
32. Roll R. A simple measure of the effective bid-ask spread in an efficient market. Journal of Finance. 39:1984;1127-1139.
33. Sauer R. The economics of wagering markets. Journal of Economic Literature. 36:1998;2021-2064.
34. Sauer R., Brajer V., Ferris S., Marr M. Hold your bets. another look at the efficiency of the gambling market for national football league games Journal of Political Economy. 96:1988;206-213.
35. Scherr F., Abbott A., Thompson M. Returns when signals of value are frequent. the Boston Celtics Journal of Business and Economic Studies. 2:1993;69-83.
36. Stoll H., Whaley R. Stock market structure and volatility. Review of Financial Studies. 3:1990;37-71.
37. Zuber R., Gandar J., Bowers B. Beating the spread. testing the efficiency of the gambling market for national football league games Journal of Political Economy. 93:1985;800-806.