Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilities

This paper presents evidence of the impact of overconfidence bias in asset prices drawn from a study based on data from tennis betting exchanges. A series of betting strategies in tournaments with a clear-cut favourite are shown to yield significant economic returns. The impact of overconfidence bia...

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Autores: Abinzano Guillén, María Isabel, Muga Caperos, Luis Fernando, Santamaría Aquilué, Rafael
Tipo de recurso: artículo
Estado:Versión aceptada para publicación
Fecha de publicación:2014
País:España
Institución:Universidad Pública de Navarra
Repositorio:Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
OAI Identifier:oai:academica-e.unavarra.es:2454/18743
Acceso en línea:https://hdl.handle.net/2454/18743
Access Level:acceso abierto
Palabra clave:Overconfidence
Betting exchanges
Anomalies
Behavioural finance
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spelling Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilitiesAbinzano Guillén, María IsabelMuga Caperos, Luis FernandoSantamaría Aquilué, RafaelOverconfidenceBetting exchangesAnomaliesBehavioural financeThis paper presents evidence of the impact of overconfidence bias in asset prices drawn from a study based on data from tennis betting exchanges. A series of betting strategies in tournaments with a clear-cut favourite are shown to yield significant economic returns. The impact of overconfidence bias on betting odds increases with trading volume, media coverage, and levels of disagreement between overconfident and Cumulative Prospect Theory bettors. Just as in traditional financial markets, arbitrage limits are shown to be a necessary condition for the impact of behavioural biases on prices.This paper has received financial support from the Spanish Ministry of Economy and Competitiveness (ECO2012-35946-C02-01)SAGEGestión de EmpresasEnpresen Kudeaketa2014info:eu-repo/semantics/articleinfo:eu-repo/semantics/acceptedVersionapplication/pdfhttps://hdl.handle.net/2454/18743reponame:Academica-e. Repositorio Institucional de la Universidad Pública de Navarrainstname:Universidad Pública de NavarraInglésinfo:eu-repo/grantAgreement/MINECO//ECO2012-35946-C02-01© Los autoresinfo:eu-repo/semantics/openAccessoai:academica-e.unavarra.es:2454/187432026-06-17T12:41:47Z
dc.title.none.fl_str_mv Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilities
title Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilities
spellingShingle Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilities
Abinzano Guillén, María Isabel
Overconfidence
Betting exchanges
Anomalies
Behavioural finance
title_short Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilities
title_full Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilities
title_fullStr Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilities
title_full_unstemmed Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilities
title_sort Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilities
dc.creator.none.fl_str_mv Abinzano Guillén, María Isabel
Muga Caperos, Luis Fernando
Santamaría Aquilué, Rafael
author Abinzano Guillén, María Isabel
author_facet Abinzano Guillén, María Isabel
Muga Caperos, Luis Fernando
Santamaría Aquilué, Rafael
author_role author
author2 Muga Caperos, Luis Fernando
Santamaría Aquilué, Rafael
author2_role author
author
dc.contributor.none.fl_str_mv Gestión de Empresas
Enpresen Kudeaketa
dc.subject.none.fl_str_mv Overconfidence
Betting exchanges
Anomalies
Behavioural finance
topic Overconfidence
Betting exchanges
Anomalies
Behavioural finance
description This paper presents evidence of the impact of overconfidence bias in asset prices drawn from a study based on data from tennis betting exchanges. A series of betting strategies in tournaments with a clear-cut favourite are shown to yield significant economic returns. The impact of overconfidence bias on betting odds increases with trading volume, media coverage, and levels of disagreement between overconfident and Cumulative Prospect Theory bettors. Just as in traditional financial markets, arbitrage limits are shown to be a necessary condition for the impact of behavioural biases on prices.
publishDate 2014
dc.date.none.fl_str_mv 2014
dc.type.none.fl_str_mv info:eu-repo/semantics/article
info:eu-repo/semantics/acceptedVersion
format article
status_str acceptedVersion
dc.identifier.none.fl_str_mv https://hdl.handle.net/2454/18743
url https://hdl.handle.net/2454/18743
dc.language.none.fl_str_mv Inglés
language_invalid_str_mv Inglés
dc.relation.none.fl_str_mv info:eu-repo/grantAgreement/MINECO//ECO2012-35946-C02-01
dc.rights.none.fl_str_mv © Los autores
info:eu-repo/semantics/openAccess
rights_invalid_str_mv © Los autores
eu_rights_str_mv openAccess
dc.format.none.fl_str_mv application/pdf
dc.publisher.none.fl_str_mv SAGE
publisher.none.fl_str_mv SAGE
dc.source.none.fl_str_mv reponame:Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
instname:Universidad Pública de Navarra
instname_str Universidad Pública de Navarra
reponame_str Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
collection Academica-e. Repositorio Institucional de la Universidad Pública de Navarra
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repository.mail.fl_str_mv
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