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.
作者
我是这篇论文的作者
点击您的名字以认领此论文并将其添加到您的个人资料中。
推荐
暂无数据