A Natural Experiment for Efficient Markets: Information Quality, Behavioral Measurements and Influential Agents

54 Pages Posted: 14 Feb 2018 Last revised: 9 Apr 2018

Brian Mills

University of Florida

Steven Salaga

University of Georgia

Date Written: March 23, 2018

Abstract

We test the integration of repeated decision making of influential agents in asset prices. Our approach exploits a natural experiment in the MLB betting market, in which umpire assignments are revealed only for certain games, using over 2.5 million influential decisions made by these officials. Estimations reveal only partial adjustment to information related to umpire behavioral heterogeneity. We show that this is exploitable by informed bettors, providing advantages over more salient, lower quality information. These results suggest underlying information on influential individual decision making can serve as a high quality indicator of asset values due to its persistence across time.

Keywords: Market Efficiency, Betting Markets, Behavior, Baseball

JEL Classification: G14, L83, Z2

Suggested Citation

Mills, Brian and Salaga, Steven, A Natural Experiment for Efficient Markets: Information Quality, Behavioral Measurements and Influential Agents (March 23, 2018). Available at SSRN: https://ssrn.com/abstract=3112783 or http://dx.doi.org/10.2139/ssrn.3112783

Brian Mills (Contact Author)

University of Florida ( email )

PO Box 117165, 201 Stuzin Hall
Gainesville, FL 32610-0496
United States

Steven Salaga

University of Georgia ( email )

330 River Road
361 Ramsey
Athens, GA 30602
United States
7062541173 (Phone)

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