Testing market efficiency: Evidence from the NFL sports betting market

• 成果类型: Article
• 署名作者: Gray, PK; Gray, SF
• 署名单位: University of Queensland; Duke University
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.2307/2329455
• 发表日期: 1997
• 页码: 1725-1737
• 关键词: FOOTBALL-LEAGUE GAMES; SPREAD

摘要

This article examines the efficiency of the National Football League (NFL) betting market. The standard ordinary least squares (OLS) regression methodology is replaced by a probit model. This circumvents potential econometric problems, and allows us to implement more sophisticated betting strategies where bets are placed only when there is a relatively high probability of success. In-sample tests indicate that probit-based betting strategies generate statistically significant profits. Whereas the profitability of a number of these betting strategies is confirmed by out-of-sample testing, there is some inconsistency among the remaining out-of-sample predictions. Our results also suggest that widely documented inefficiencies in this market tend to dissipate over time.