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Does time series momentum also exist outside traditional financial markets? Near-laboratory evidence from sports betting

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  • Vandenbruaene, Jonas
  • De Ceuster, Marc
  • Annaert, Jan

Abstract

The presence of time series momentum in the returns of financial assets puzzles economists. We show that this anomaly is also present in sports betting, a seemingly unrelated market and a near-laboratory setting. We find both a statistically significant and economically meaningful difference between the returns of bets on recent winners compared to recent losers. These differences are not due to rational compensations for variance or skewness, but are in line with underreaction. The bookmakers do not appear to react efficiently to new information.

Suggested Citation

  • Vandenbruaene, Jonas & De Ceuster, Marc & Annaert, Jan, 2023. "Does time series momentum also exist outside traditional financial markets? Near-laboratory evidence from sports betting," Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), Elsevier, vol. 104(C).
    • Handle: RePEc:eee:soceco:v:104:y:2023:i:c:s221480432300040x
    DOI: 10.1016/j.socec.2023.102014
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    More about this item

    Keywords

    time series momentum; sports betting; underreaction; asset pricing; behavioral finance;
    All these keywords.

    JEL classification:

    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • G40 - Financial Economics - - Behavioral Finance - - - General
    • Z2 - Other Special Topics - - Sports Economics

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