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Are Sports Betting Markets Semistrong Efficient? Evidence from the COVID-19 Pandemic


Meier, Pascal Flurin; Flepp, Raphael; Franck, E (2020). Are Sports Betting Markets Semistrong Efficient? Evidence from the COVID-19 Pandemic. UZH Business Working Paper Series 387, University of Zurich.

Abstract

This paper examines whether sports betting markets are semistrong-form efficient—i.e., whether new information is rapidly and completely incorporated into betting prices. We use the news of ghost matches in the top European football leagues due to the COVID-19 pandemic as the arrival of public information. Because spectators are absent in ghost games, the home field advantage is reduced, and we test whether this information is fully reflected in betting prices. Our results show that bookmakers systematically overestimate a home team’s winning probability during the first period of the ghost games, which suggests that betting markets are, at least temporally, not semistrong-form efficient. We exploit a betting strategy that yields a positive net payoff over more than one month.

Abstract

This paper examines whether sports betting markets are semistrong-form efficient—i.e., whether new information is rapidly and completely incorporated into betting prices. We use the news of ghost matches in the top European football leagues due to the COVID-19 pandemic as the arrival of public information. Because spectators are absent in ghost games, the home field advantage is reduced, and we test whether this information is fully reflected in betting prices. Our results show that bookmakers systematically overestimate a home team’s winning probability during the first period of the ghost games, which suggests that betting markets are, at least temporally, not semistrong-form efficient. We exploit a betting strategy that yields a positive net payoff over more than one month.

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Additional indexing

Item Type:Working Paper
Communities & Collections:03 Faculty of Economics > Department of Business Administration
Dewey Decimal Classification:330 Economics
Language:English
Date:18 August 2020
Deposited On:04 Sep 2020 07:00
Last Modified:05 Sep 2020 03:41
Series Name:UZH Business Working Paper Series
Number of Pages:25
ISSN:2296-0422
OA Status:Green
Free access at:Official URL. An embargo period may apply.
Official URL:https://www.business.uzh.ch/de/research/wps.html
Other Identification Number:merlin-id:19685

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