Information acquisition in ostensibly efficient markets

Brown, Alasdair (2015) Information acquisition in ostensibly efficient markets. Economica, 82 (327). 420–447. ISSN 0013-0427

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Abstract

I use UK betting exchange data on Wimbledon tennis matches to investigate the Grossman and Stiglitz (1980) paradox. Risk-free arbitrage opportunities arise frequently during matches (as information arrives and asynchronously shifts prices), but seldom arise before matches (when there is little information to move prices). I find that on the few occasions that arbitrage opportunities do arise before matches, they last substantially longer than average. This suggests, in line with the paradox, that traders neglect to acquire information (carry out research or watch markets) if they believe that markets are already efficient. This neglect, in turn, makes markets inefficient.

Item Type:	Article
Faculty \ School:	Faculty of Social Sciences > School of Economics
UEA Research Groups:	Faculty of Social Sciences > Research Groups > Applied Econometrics And Finance
Depositing User:	Pure Connector
Date Deposited:	19 Feb 2014 16:12
Last Modified:	04 Mar 2024 16:52
URI:	https://ueaeprints.uea.ac.uk/id/eprint/47491
DOI:	10.1111/ecca.12118

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