ECIN Replication Package for "Pricing in Response to New Information: The Case of Betting Markets"

<div>Markets are information aggregators<span>. 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.<br></span></div><div><br></div><div>The present dataset contains 117,174 closing odds for 1,372 soccer matches in the German Bundesliga 1 and the Italian Serie A for the seasons 2019/2020 and 202/2021. It combines this information with match outcomes and COVID-19 infection information for the clubs participating in the two leagues. All infection data is based on publicly available information, e.g., announcements by the press, players, or their clubs.<br></div><div><br></div>