Momentum and Sports Betting
21 Pages Posted: 16 Feb 2010
Date Written: February 15, 2010
I document that momentum trading strategies are significantly profitable in an intragame NBA sports betting market. The momentum profits appear to be the result of market underreaction to news, but I find no evidence that the underreaction is driven by the psychological biases that form the foundation of existing behavioral models of momentum. Together, my results suggest that new theories of momentum might be needed.
Keywords: Momentum, Sports Betting, Underreaction, Regime-Shifting Beliefs
JEL Classification: D03, G14
Suggested Citation: Suggested Citation