(20091204) AUEB SEMINARS : Information and Efficiency: Goal Arrival in Soccer Betting, Athens - Greece

Διευκρινίζεται ότι τελικά η ομιλία θα γίνει στην αιθουσα 607 στο μεταπτυχιακό (Ευελπίδων 47Α & Λευκάδος 33, 6ος Οροφος) την ιδια ωρα (12.00) ακόμα και αν το κεντρικό κτίριο είναι ανοικτό.

Ενδιαφέρον ακούγεται. Θα περάσω κατά πάσα πιθανότητα.

Σεμινάριο Τμήματος Στατιστικής ΟΠΑ

Παρασκευή 4 Δεκεμβρίου 2009
Αίθουσα: 607 (Ευελπίδων 47Α & Λευκάδος 33, 6ος Οροφος)
Ώρα: 12:00 – 13:00


James Reade
Lecturer, Department of Economics, University of Birmingham


Information and Efficiency: Goal Arrival in Soccer Betting

Abstract
In 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 swiftly and fully update.