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.
引用
收藏
页码：62 / 91
页数：30
相关论文
共 50 条
  • [21] MARKET EFFICIENCY AND FOOTBALL BETTING
    PANKOFF, LD
    [J]. JOURNAL OF BUSINESS, 1968, 41 (02): : 203 - 214
  • [22] EFFICIENCY OF THE MARKET FOR RACETRACK BETTING
    HAUSCH, DB
    ZIEMBA, WT
    RUBINSTEIN, M
    [J]. MANAGEMENT SCIENCE, 1981, 27 (12) : 1435 - 1452
  • [23] Determinants of betting market efficiency
    Gramm, M
    Owens, DH
    [J]. APPLIED ECONOMICS LETTERS, 2005, 12 (03) : 181 - 185
  • [24] Impact of Truck Arrival Information on System Efficiency at Container Terminals
    Zhao, Wenjuan
    Goodchild, Anne V.
    [J]. TRANSPORTATION RESEARCH RECORD, 2010, (2162) : 17 - 24
  • [25] EFFICIENCY AND EQUITY OF BETTING MARKETS
    DOWIE, J
    [J]. ECONOMICA, 1976, 43 (170) : 139 - 150
  • [26] INSIDE INFORMATION IN A BETTING MARKET
    SCHNYTZER, A
    SHILONY, Y
    [J]. ECONOMIC JOURNAL, 1995, 105 (431): : 963 - 971
  • [27] Regional information and market efficiency: The case of spread betting in United States college football
    Kuester D.D.
    Sanders S.
    [J]. Journal of Economics and Finance, 2011, 35 (1) : 116 - 122
  • [28] Betting volume and market efficiency in Hong Kong race track betting
    Walls, WD
    Busche, K
    [J]. APPLIED ECONOMICS LETTERS, 1996, 3 (12): : 783 - 787
  • [29] Relative pricing of binary options in live soccer betting markets
    Hofer, Vera
    Leitner, Johannes
    [J]. JOURNAL OF ECONOMIC DYNAMICS & CONTROL, 2017, 76 : 66 - 85
  • [30] Sports (Betting) Integrity: Detecting Match-Fixing in Soccer
    Feustel, Elihu D.
    Rodenberg, Ryan M.
    [J]. GAMING LAW REVIEW & ECONOMICS-REGULATION COMPLIANCE AND POLICY, 2015, 19 (10): : 689 - 694
12345