INFORMATION AND EFFICIENCY: GOAL ARRIVAL IN SOCCER BETTING

被引：48
|
作者：
Croxson, Karen
Reade, J. James
机构：
[1] Univ Oxford, Oxford OX1 2JD, England
[2] Oxford Man Inst Quantitat Finance, Oxford, England
[3] Univ Birmingham, Birmingham B15 2TT, W Midlands, England
来源：
ECONOMIC JOURNAL | 2014年 / 124卷 / 575期
关键词：
CAPITAL-MARKETS; STOCK; UNDERREACTION; ANNOUNCEMENT; TESTS;
D O I：
10.1111/ecoj.12033
中图分类号：
F [经济];
学科分类号：
02 ;
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.
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页码：62 / 91
页数：30
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