Roman Gauriot

Using a natural experiment setting on binary options markets, we compare the evolution of market prices in situations where the occurrence or not of information shocks depends on knife-edge situations and where shocks can be considered as good as random. We find that most of the time, prices react surprisingly efficiently to information shocks with no evidence of abnormal average returns. We nonetheless find evidence of under-reaction in specific situations where information shocks are large.
Roman Gauriot
Statistics seminar
Deakin University
Friday, 3 March 2023, 4pm
Zoom (link below)