Asset Pricing and Sports Betting

• 成果类型: Article
• 署名作者: Moskowitz, Tobias J.
• 署名单位: Yale University; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13082
• 发表日期: 2021
• 页码: 3153-3209
• 关键词: cross-section; MARKET-EFFICIENCY; GAMBLING MARKET; POINT SPREAD; HOT-HAND; momentum; INFORMATION; basketball; returns; MODEL

摘要

Sports betting markets offer a novel laboratory to test theories of cross-sectional asset pricing anomalies. Two features of this market-no systematic risk and terminal values exogenous to betting activity-evade the joint hypothesis problem, allowing mispricing to be detected. Examining a large and diverse set of liquid betting contracts, I find strong evidence of momentum, consistent with delayed overreaction and inconsistent with underreaction and rational pricing. Returns are a fraction of those in financial markets and fail to overcome transactions costs, preventing arbitrage from eliminating them. An insight from betting also predicts value and momentum returns in U.S. equities.