Semiparametric (Distribution-Free) Testing of the Expectations Hypothesis in a Parimutuel Gambling Market
用参数和半参数方法检验赛狗博彩市场的预期假设，半参数估计能避免分布设定错误和异方差问题，结果拒绝该假设。
The expectations hypothesis maintains that a current forward or futures price should be an unbiased forecast of the expected future price. This article tests the expectations hypothesis in the parimutuel gambling market for greyhound racing using parametric and semiparametric estimators. Parimutuel gambling markets are similar to speculative asset markets in many regards. Conventional maximum likelihood tests of asset pricing require a priori specification of the statistical distribution governing agents' expectations. Distributional misspecifications may bias conventional tests. The semiparametric estimators applied in this article overcome these problems and, in addition, maintain consistency under heteroscedasticity. The results reject the expectations hypothesis