In this paper we propose a class of nonparametric tests for anomaly effects in empirical asset pricing models in the framework of nonparametric panel data models with interactive fixed effects. Our approach has two prominent features: one is the adoption of nonparametric component to capture the anomaly effects of some asset-specific characteristics, and the other is the flexible treatment of b...

Previous studies suggest that two otherwise robust ‘anomalies’ – preference reversals and disparities between buying and selling valuations – are eroded when respondents participate in repeated markets. We report an experiment which investigates whether this is true when factors neglected in previous studies are controlled, and which distinguishes between anomalies revealed in the behaviour of ...

This paper tests price efficiency and outcome predictability in the NFL point spread betting market by examining game forecast errors. Our main contribution to the existing literature is the identification of a highly significant increase in the magnitude of the market forecast error during the final few weeks of each season. We demonstrate that this anomaly arises because the impact of game da...