Betting on momentum in contests

With unprecedented access to volumes and prices of state‐contingent claims by a major bookmaker, second‐by‐second in‐play football betting markets, we study what happens after major breaking news. We focus on what might look like a shift in momentum to a bettor: equalizing goals. Immediately after this news breaks, the volume of claims sold on the match outcomes increases and is substantially biased toward the equalizing team. But there is no evidence that the prices or values of these claims are functions of which ever team scored last. These findings illustrate the value of integrating high‐frequency price and quantity data to evaluate the efficiency and profitability of betting markets