Research Page
"Have nunchucks. Will travel." - Antonio "Tony The Tiger" Vernón

Main page | Tony's Videos | Tony's Photo Gallery | Tony's Academic Information


                   

Publications

"Market Efficiency and March Madness: Empirical Tests of Point Spread Betting", 2003 Proceedings of the American Statistical Association, Statistics in Sports Section [CD-ROM], Alexandria, Virginia: pp. 4364-4371.

Working Papers

Active Research

In order to view this file you will need Acrobat Reader .

"Microeconomic Corruption: Parametric Bootstraps of Point Spread Markets"

Abstract: Using a game theoretic general corruption definition and 1979-2004 NCAA menís basketball tournament data, I show that repeated systematic corruption can explain behavioral anomalies in semi-strong form efficient markets. I calibrate subjective ex ante and objective ex post empirical distributions of relative ability. Apparently, I perform the first parametric bootstrap of the NCAA menís basketball tournament. I study this elimination tournament by bootstrapping several millennia of point spread data. I document probabilistic inconsistencies that represent mispricings and specific mispricings consistent with microeconomic corruption, which has been ignored in financial economics. The mispricings do not translate into profitable market opportunities. Last version: 1/12/05

"Do As The Romans Do: An Intertemporal Model of Social Interaction"

Abstract: When risk does not explain expected returns and limits to arbitrage are insignificant, unexplained returns are anomalous. Since factors that affect utility explain prices, social interactions, a subset of actions called externalities, may explain anomalous socioeconomic behavior. I present a 2-agent model of rational noncooperative individual choice with intertemporal capital formation and social interaction derived from Becker and Murphy (1988). I prove that in equilibrium simultaneous efficiency is not possible for both goods with and goods without intertemporal complementarity. The model subsumes important social economics and asset pricing models such as rational addiction, internal habit, and external habit as special cases. Last version: 5/3/05

"Market Efficiency and March Madness: Empirical Tests of Point Spread Betting," prior drafts circulating as "Does March Madness Exist?: The Favorite-Longshot Bias versus Market Efficiency Using Point Spread Betting."
SSRN posting updated 1/5/04.


Abstract: I appear to present the first empirical documentation of gamblingís entertainment value in national point spread markets and first axiomatic, efficient, and rational model of these markets. Using asset classes, I test Collegiate Basketball Tournament point spread market efficiency via latent class analysis and OLS regressions. Efficiency obtains except for lower seeded favorites, which supports additional pricing factors such as entertainment value. Point spreadsí explanatory power has increased over time, but diminishes as the tournament progresses. It has more explanatory power than seeding dummy variables over both margin of victory and win incidence. I find an OLS coefficient structural break. Last version: 12/16/04

-presented at the 2003 Finance Doctoral Student Association Conference (Los Cabos, Mexico).
-presented at the 2003 Joint Statistical Meetings, Statistics in Sports Section (San Francisco).
-Forthcoming, 2003 Proceedings of the American Statistical Association, Statistics in Sports Section [CD-ROM] (8 page summary).
N.B.: Authors retain copyright on papers published in the Proceedings. Eligible presenters may submit their articles for publication in the Proceedings and publication in a peer-reviewed journal.

"The Weekly Performance-based Cross-section" , This paper was my Summer Paper 2003. It replaces and subsumes all work in "Characterizing Short-Term Contrarian Profits" , the two semester research paper written in fulfillment of the final paper requirements for the Theory of Financial Decisions I & II classes taught by Eugene Fama.



"The Treasury Security Auction Pricing Mechanism: An Efficiency Study", CRSP Summer Paper Grant Research

Last version: 9/19/01

"Dividend Payout Ratio and Firm Characteristics: The Censored Relationship", This paper was written in fulfillment of the final paper requirements for both Luigi Zingales' ``Theory Financial Decisions III" and Michael Larsen's ``Statistical Theory and Methods III: Probability Models, Estimation, and Missing Data"

Last version: 6/9/01



Past Academic Work



"Asymmetric Limit Order Execution: Does it Really Exist and Why?

Abstract:
This paper applies traditional statistical and econometric tests along with selected tools from survival analysis to address the perceived measurable asymmetric limit order execution with respect to trade direction. The directional asymmetry will be evaluated by both survival time and success ratio measurements. The main tools employed for these evaluations are the Cox Proportional Hazards Model and standardization. The basic models will test the fundamental precepts of asymmetric information to determine the nature of the execution asymmetry. Additionally, extensive testing of the homogeneity of the order flow of limit orders with respect to moneyness, daily returns, time of day, order size, price volatility (episodic), and contemporaneous midquote price will be performed.

Last version: 9/23/00

"The When Issued Premium as a Challenge to The Efficient Markets Hypothesis: An Econometric Perspective"



"Selected Pricing Behavior Theories as an Explanation of Oil Price Shocks Between 1983 and 1986: The Saudi Arabian Perspective"

Click here to Return to the main page.

eXTReMe Tracker
View My Stats