How Market Prices React to Information: Evidence from Binary Options Markets
利用二元期权市场的自然实验，研究价格在信息冲击下的反应，发现价格总体高效快速调整，但大冲击时存在短暂反应不足。
Abstract Using a natural experiment setting in binary options markets, we compare the evolution of market prices in situations where the occurrence of public information shocks is contingent on knife-edge conditions and can be considered nearly random. We find that prices mostly react efficiently and quickly to information shocks, adjusting to the new fundamental value. Nonetheless, we observe a tendency for prices to initially under-react when the information shocks are large. This under-reaction is short-lived.