If they give bromine water test, what do they form?
I think that aldehydes will get oxidised and so decolourise bromine water but I don't know if that happens in normal conditions.
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The answer is yes. Aldehydes will decolourise bromine water.
The oxidation of aldehydes to acids is discussed in this answer Does Br2/H2O oxidize all aldehydes?
In addition alpha-bromination of the aldehyde via the acid catalysed bromination of the enol is a well-documented process. https://chem.libretexts.org/LibreTexts/Athabasca_University/Chemistry_360%3A_Organic_Chemistry_II/Chapter_22%3A_Carbonyl_Alpha-Substitution_Reactions/22.03_Alpha_Halogenation_of_Aldehydes_and_Ketones