Suckers Are Born but Markets Are Made: Individual Rationality, Arbitrage, and Market Efficiency on an Electronic Futures Market
Published Online:1 Mar 2004https://doi.org/10.1287/mnsc.1040.0191
References
- Boys will be boys: Gender, overconfidence and common stock investment. Quart. J. Econom. (2001) 116:261–292Crossref, Google Scholar
- Prediction markets as decision support systems. Inform. Systems Frontiers (2003) 5:79–93Crossref, Google Scholar
- Accuracy and forecast standard error of prediction markets. (2003) . Working paper, Department of Finance, University of Iowa. Iowa City, IA.Google Scholar
- , Plott C. A., Smith V. Results from a dozen years of election futures markets research. Handbook of Experimental Economic Results (2004) (Elsevier Science, Amsterdam, The Netherlands) Google Scholar
- Transactions data tests of efficiency of the Chicago Board Options Exchange. J. Financial Econom. (1983) 12:161–185Crossref, Google Scholar
- The safety loading of reinsurance premiums. Skand. Aktuar. (1960) 43:163–184Google Scholar
- , Dréze J. H. Optimum allocation of risk in a market with many traders. Allocation Under Uncertainty: Equilibrium and Optimality (1974) (MacMillan Press, London, England) 89–97Crossref, Google Scholar
- Intraday relationships among index arbitrage, spot and futures price volatility, and spot market volume: A transactions data test. J. Banking Finance (1993) 17:663–687Crossref, Google Scholar
- Overconfidence, arbitrage, and equilibrium asset pricing. J. Finance (2001) 56:921–965Crossref, Google Scholar
- Investor psychology in capital markets: Evidence and policy implications. J. Monetary Econom. (2002) 49:139–209Crossref, Google Scholar
- Efficient capital markets: A review of theory and empirical work. J. Finance (1970) 25:383–417Crossref, Google Scholar
- Efficient capital markets II. J. Finance (1991) 46:1575–1617Crossref, Google Scholar
- Index options: The early evidence. J. Finance (1985) 40:743–756Crossref, Google Scholar
- Options arbitrage in imperfect markets. J. Finance (1989) 44:1289–1311Crossref, Google Scholar
- Put-call-futures parity and arbitrage opportunity in the market for options on gold futures contracts. J. Futures Markets (1990) 10:339–352Crossref, Google Scholar
- Wishes, expectations and actions: Price formation in election stock markets. J. Econom. Behavior Organ. (1999) 39:83–110Crossref, Google Scholar
- Anatomy of an experimental political stock market. Amer. Econom. Rev. (1992) 82:1142–1161Google Scholar
- Empirical tests of boundary conditions for CBOE options. J. Financial Econom. (1978) 6:187–211Crossref, Google Scholar
- On the impossibility of informationally efficient markets. Amer. Econom. Rev. (1980) 70:393–408Google Scholar
- Empirical tests of boundary conditions for Toronto stock exchange options. J. Finance (1985) 40:481–500Crossref, Google Scholar
- Continuous auctions and insider trading. Econometrica (1985) 53:1315–1335Crossref, Google Scholar
- , Dréze J. H. The allocation of individual risks in large markets. Allocation Under Uncertainty: Equilibrium and Optimality (1974) (MacMillan Press, London, England) 110–125Crossref, Google Scholar
- The Psychology of Investing (2002) (Prentice Hall, Upper Saddle River, NJ) Google Scholar
- Forecasting markets: An industrial application Part I. (1997) . Working paper, Department of Managerial Economics and Industrial Organization, University of Technology, Vienna, AustriaGoogle Scholar
- Forecasting markets: An industrial application Part II. (1998) . Working paper, Department of Managerial Economics and Industrial Organization, University of Technology, Vienna, AustriaGoogle Scholar
- Markets as information gathering tools. Southern Econom. J. (2000) 67:1–15Crossref, Google Scholar
- An Inquiry into the Nature and Causes of the Wealth of Nations. (1776) . Reprinted 1982. Penguin English Library. New York.Google Scholar
- Experimental economics: Induced value theory. Amer. Econom. Rev. (1976) 66:274–279Google Scholar
- A reexamination of put-call parity on index futures. J. Futures Markets (1994) 14:79–101Crossref, Google Scholar
- Valuation of American futures options: Theory and empirical tests. J. Finance (1986) 41:127–150Crossref, Google Scholar
- A theory of anticipatory prices. Amer. Econom. Rev. (1958) 48:188–199Google Scholar

