Momentum in sports betting
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Journal Title
Journal ISSN
Volume Title
School of Business |
Master's thesis
Author
Date
2024
Department
Major/Subject
Mcode
Degree programme
Finance
Language
en
Pages
36 + 4
Series
Abstract
Inspired by the work of Moskowitz (2021) on asset pricing and sports betting, I attempt to extend his work to a new market with additional methodologies and insights. While he examined all the most common stock market factors, I concentrated on momentum due to its inherent applicability to sports. Utilizing a comprehensive dataset of 16,309 football matches from five major European football leagues over nine seasons (2014/2015 to 2022/2023), this thesis investigates betting market efficiency, the presence of momentum premium, and mispricing patterns in the European football betting market, drawing parallels with established stock market theories. Employing moneyline contracts, the research explores both, momentum based on realized betting returns, and expected, xG-model-based betting returns. I conduct multiple regression analyses on betting odds line movements, attempting to capture reactions to news affecting the perception of relative strength between the opposing sides, as well as the effect of momentum on the line movements. Additionally, I employed a betting strategy return analysis, seeking to gauge possible momentum premia. The findings reveal evidence of momentum premia in the European football betting market, yet the reaction to team news is relatively efficient. However, I find some statistically significant imperfect reactions when the data is segmented further, but as the reactions are opposing, they cancel each other out on the aggregate. Additionally, I find inefficiencies particular to the betting market, such as incorrect assessments of home team advantage.Description
Thesis advisor
Keloharju, MattiKeywords
market efficiency, sports betting, momentum, stock market factors
