INFORMATION AND EFFICIENCY: GOAL ARRIVAL IN SOCCER BETTING

• 成果类型: Article
• 署名作者: Croxson, Karen; Reade, J. James
• 署名单位: University of Oxford; University of Oxford; University of Birmingham
• 刊物名称: ECONOMIC JOURNAL
• ISSN/ISSBN: 0013-0133
• DOI: 10.1111/ecoj.12033
• 发表日期: 2014
• 页码: 62-91
• 关键词: capital-markets; STOCK; underreaction; announcement; tests

摘要

An efficient market incorporates news into prices immediately and fully. Tests for efficiency in financial markets have been undermined by information leakage. We test for efficiency in sports betting markets - real-world markets where news breaks remarkably cleanly. Applying a novel identification to high-frequency data, we investigate the reaction of prices to goals scored on the cusp' of half-time. This strategy allows us to separate the market's response to major news (a goal), from its reaction to the continual flow of minor game-time news. On our evidence, prices update swiftly and fully.