Testing market efficiency: Evidence from the nfl sports betting market

Philip K. Gray, Stephen F. Gray

Research output: Contribution to journalArticleResearchpeer-review

103 Citations (Scopus)

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 languageEnglish
Pages (from-to)1725-1737
Number of pages13
JournalJournal of Finance
Volume52
Issue number4
DOIs
Publication statusPublished - 1 Jan 1997

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