When Do Markets Fully Process Public Information? Evidence from Real-Time Prediction Markets (opens in new tab)

How efficiently do markets update beliefs when public information arrives in rapid sequence? We use a real-time prediction market setting that combines binary payoffs, precisely observed public signals, and high-frequency market data, allowing us to compare market price changes with changes in a benchmark probability implied by publicly available information. We first show that prices are informative and become more accurate as resolution approa...