  In this paper I empirically investigate prediction markets for binary
options. Advocates of prediction markets have suggested that asset prices are
consistent estimators of the "true" probability of a state of the world being
realized. I test whether the market reaches a "consensus." I find little
evidence for convergence in beliefs. I then determine whether an econometrician
using data beyond execution prices can leverage this data to estimate the
consensus belief. I use an incomplete specification of equilibrium outcomes to
derive bounds on beliefs from order submission decisions. Interval estimates of
mean beliefs cannot exclude aggregate beliefs equal to 0.5.
