Abstract
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.
| Original language | English |
|---|---|
| Pages (from-to) | 1725-1737 |
| Number of pages | 13 |
| Journal | Journal of Finance |
| Volume | 52 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 1 Jan 1997 |
Cite this
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Testing market efficiency : Evidence from the nfl sports betting market. / Gray, Philip K.; Gray, Stephen F.
In: Journal of Finance, Vol. 52, No. 4, 01.01.1997, p. 1725-1737.Research output: Contribution to journal › Article › Research › peer-review
TY - JOUR
T1 - Testing market efficiency
T2 - Evidence from the nfl sports betting market
AU - Gray, Philip K.
AU - Gray, Stephen F.
PY - 1997/1/1
Y1 - 1997/1/1
N2 - 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.
AB - 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.
UR - http://www.scopus.com/inward/record.url?scp=0012907153&partnerID=8YFLogxK
U2 - 10.1111/j.1540-6261.1997.tb01129.x
DO - 10.1111/j.1540-6261.1997.tb01129.x
M3 - Article
VL - 52
SP - 1725
EP - 1737
JO - Journal of Finance
JF - Journal of Finance
SN - 0022-1082
IS - 4
ER -