Information and Efficiency: Goal Arrival in Soccer Betting

2013/03/07 by Karen Croxson, J. James Reade · 6 citations
Economics, Econometrics and Finance · Decision Sciences · #Sports Analytics and Performance #Financial Markets and Investment Strategies #Decision-Making and Behavioral Economics

paper · doi:10.1111/ecoj.12033

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.

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