Do Betting Markets Sense a Goal Coming? Evidence from the German Bundesliga

Abstract: We use the fertile ground of betting markets to study the anticipation of major news in financial markets. While there is a considerable body of literature on the accuracy and efficiency of betting markets after important in-match events, there are no studies dealing with the anticipation of such events. This paper tracks bookmaker odds and betting stakes to provide insights into the movement of both prior to goals. Utilising high-resolution (1 Hz) data from a leading European bookmaker for a full season of the top German football league, we analyse whether market participants anticipate major news. In particular, we consider the case of the first goal scored within a match, with its strong impact on the match outcome. Using regression models and state-space models (SSMs) accounting for an underlying market activity level, we investigate whether the bookmaker adjusts odds and bettors tend to place higher stakes on the scoring team right before the first goal is scored. Our results indicate that neither side of the market anticipates goals by significantly adjusting their behaviour.