We consider which readily observable characteristics of individual stocks (e.g., option implied volatility, accounting data, analyst data) may be used to forecast subsequent extreme price movements. We are the first to explicitly consider the predictive influence of option implied volatility in...

Popular wisdom regarding athletics is that offenses are at a relative disadvantage in the early portion of seasons. We present evidence that this anecdotal belief holds true over the 2000-2010 National Football League (NFL) seasons. This is reflected in lower offensive yardage, fewer first...

In this paper we test the efficiency of NFL betting markets by examining the ability of NFL point spread and moneyline markets to incorporate information. While bookmakers may properly evaluate available information when setting point spreads and moneylines, we show that the nature of point...

Traveling across multiple time zones, especially from east-to-west so that hours are “lost”, has documented negative effects on athletic performance. Nichols (2012) finds mixed evidence that sports betting markets fail to account for these effects. We reconsider, for the 2005-2010 NFL...

We study the perceived discrepancy between power conference and mid-major college football teams by examining outcomes of games when these teams face one another. We find that point spreads are set statistically irrationally in games where power conference teams play mid-major teams. We examine...

This paper examines the information content in option prices and volatility surrounding analyst recommendation changes. The sample includes 7,549 recommendation changes of optionable stocks over the period January 1996 to December 2005. As expected, mean underlying asset returns are positive on...

Behavioral theories contend that the human decision-making process tends to both incorporate anchor points and improperly weight low probability events. In this study, we find evidence that equity option market investors anchor to prices and incorporate a probability weighting function similar...

Levitt (2004) demonstrates that, contrary to conventional wisdom, sports books may not try to balance the money wagered on the sides of a game but instead exploit preferences of bettors in order to maximize expected profits. Levitt's findings are based on unique data from a wagering contest of...

Recent research has hypothesized that a higher concentration of informed traders in a market implies that prices are more efficient. A reasonable next question is whether large price movements in markets with a relatively more informed clientele are more indicative of information realization. We...

Recent work has considered whether information is simultaneously reflected in both option and equity markets. We provide new evidence supporting Black's (1975) conjecture that information is first revealed in option markets. Specifically, changes in call and put open interest levels have...