Information and Efficiency: Goal Arrival in Soccer Betting
AbstractIn an efficient market news is incorporated into prices rapidly and completely. Attempts to test for this in financial markets have been undermined by the possibility of information leakage unobserved by the econometrician. An alternative is to switch to laboratory conditions, at the price of some artificiality. Potentially, sports betting markets offer a superior way forward: assets have terminal values and news can break remarkably cleanly, as when a goal is scored in soccer. We exploit this context to test for efficiency, applying a novel identification strategy to high-frequency data. On our evidence, prices update swiftly and fully.
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Bibliographic InfoPaper provided by Department of Economics, University of Birmingham in its series Discussion Papers with number 11-01.
Length: 40 pages
Date of creation: Jan 2011
Date of revision:
Information; market efficiency; gambling;
Other versions of this item:
- Karen Croxson & J. James Reade, 2014. "Information and Efficiency: Goal Arrival in Soccer Betting," Economic Journal, Royal Economic Society, vol. 124(575), pages 62-91, 03.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- D0 - Microeconomics - - General
- C01 - Mathematical and Quantitative Methods - - General - - - Econometrics
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