Abstract
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.
| Original language | English |
|---|---|
| Journal | The Economic Journal |
| Early online date | 7 Mar 2013 |
| DOIs | |
| Publication status | Published - 2013 |
Keywords
- Information aggregation
- market efficiency
- gambling
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