Information and Efficiency: Goal Arrival in Soccer Betting

30 Pages Posted: 18 Mar 2014

See all articles by J. James Reade

J. James Reade

University of Reading, Department of Economics

Karen Croxson

Balliol College

Date Written: March 2014

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.

Suggested Citation

Reade, J. James and Croxson, Karen, Information and Efficiency: Goal Arrival in Soccer Betting (March 2014). The Economic Journal, Vol. 124, Issue 575, pp. 62-91, 2014. Available at SSRN: https://ssrn.com/abstract=2410595 or http://dx.doi.org/10.1111/ecoj.12033

J. James Reade

University of Reading, Department of Economics ( email )

Whiteknights
Reading, Berkshire RG6 6AH
United Kingdom

Karen Croxson

Balliol College ( email )

Oxford, England, OX1 3BJ
United States

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