Fundamentals or Noise? Evidence from the Professional Basketball Betting Market
利用职业篮球比赛的博彩市场，研究资产价格波动中无法解释的部分。通过识别点差中的两个成分，检验了波动是噪音还是基本面驱动的假说，结果支持基本面解释。
ABSTRACT This paper uses the betting market for professional basketball games to address the issue of unexplained asset price volatility. A pricing model is presented which identifies two components in point spreads for professional basketball games. Both components—the market's estimate of relative team abilities and an idiosyncratic factor—are essentially unobserved, but can be identified ex post. The structure of this market enables tests of competing hypotheses about point spread variation. The tests reject the hypothesis that variation in the two components represents irrelevant noise. The hypothesis that unobserved fundamentals account for this variation is consistent with the data.