Pricing in response to new information: The case of betting markets
研究了博彩市场如何吸收新信息，通过分析足球运动员缺席公告对赔率的影响，发现市场反应存在初始惰性和滞后调整，挑战了传统学习理论。
Abstract Markets are information aggregators. But how do they incorporate new data into their pricing? We examine the response of prediction markets to a novel information shock in a quasi‐natural experiment: How did the absence announcements of elite soccer players influence the betting odds of affected matches? Analyzing the first four statistical moments of 117,174 odds from 32 bookmakers, we identify initial inertia followed by a lagged reaction that we cannot reason with learning. Our findings raise questions about how bettors and bookmakers incorporate new information into their beliefs. It has broader implications regarding information processing in markets.