How Market Prices React to Information: Evidence from Binary Options Markets

• 成果类型: Article; Early Access
• 署名作者: Gauriot, Romain; Page, Lionel
• 署名单位: Deakin University; University of Queensland
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1093/ej/ueaf040
• 发表日期: 2025
• 关键词: prediction markets; asset prices; underreaction; EFFICIENCY; events; news; aggregation; probability; inference; drift

摘要

Using a natural experiment setting in binary options markets, we compare the evolution of market prices in situations where the occurrence of public information shocks is contingent on knife-edge conditions and can be considered nearly random. We find that prices mostly react efficiently and quickly to information shocks, adjusting to the new fundamental value. Nonetheless, we observe a tendency for prices to initially under-react when the information shocks are large. This under-reaction is short-lived.