Download This PaperAre Sports Betting Markets Semistrong Efficient? Evidence from the COVID-19 Pandemic
International Journal of Sport Finance, 16(3), https://doi.org/10.32731/IJSF/163.082021.01
University of Zurich, Institute of Business Administration, UZH Business Working Paper No. 387
34 Pages Posted: 19 Aug 2020 Last revised: 17 Jan 2024
Date Written: August 24, 2021
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.
Keywords: Sports Betting Market, Market Efficiency, Home Advantage, COVID-19
JEL Classification: G14, L83, Z2
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