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

Jonas Vandenbruaene, Marc De Ceuster and Jan Annaert

Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics), 2023, vol. 104, issue C

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.

Keywords: time series momentum; sports betting; underreaction; asset pricing; behavioral finance (search for similar items in EconPapers)
JEL-codes: G14 G40 Z2 (search for similar items in EconPapers)
Date: 2023
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S221480432300040X
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:soceco:v:104:y:2023:i:c:s221480432300040x

DOI: 10.1016/j.socec.2023.102014

Access Statistics for this article

Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics) is currently edited by Pablo Brañas Garza

More articles in Journal of Behavioral and Experimental Economics (formerly The Journal of Socio-Economics) from Elsevier
Bibliographic data for series maintained by Catherine Liu ().