Information and Efficiency: Goal Arrival in Soccer Betting


  • We are grateful to anonymous referees for valuable feedback on a previous version of this article. In addition, we thank several colleagues for their interest and comments, particularly Pete Kyle, Kevin Sheppard, David Myatt, Paul Klemperer, Andrea Prat, Ian Jewitt, David Hendry, Andrew Patton, Neil Shephard, Clare Leaver, Markus Eberhardt, Thomas Flury and Nathaniel Frank. Versions of the article were presented at the Symposium of the Southern Economic Journal on Gambling, Prediction Markets and Public Policy, the 28th Annual International Symposium on Forecasting, the Oxford–Man Institute of Quantitative Finance, Nuffield College, Oxford University's Economics Department, the Conference in Honour of David Hendry and the IMA's First International Conference on Mathematical Modelling in Sport. We received many helpful comments at these events. Both authors have benefitted from the financial assistance of the Economic and Social Research Council and the Economics Department at Oxford. Croxson also gratefully acknowledges support from the Oxford–Man Institute of Quantitative Finance and from New College, Oxford. An earlier version of this article appeared in Croxson's doctoral dissertation.


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.