Efficiency of Football Betting Markets: The Economic Significance of Trading Strategies

13 Pages Posted: 8 Jun 2005

See all articles by Philip Gray

Philip Gray

Department of Banking and Finance, Monash University

Stephen Gray

University of Queensland - Business School; Duke University - Fuqua School of Business; Financial Research Network (FIRN)

Timothy Roche

University of Queensland - Business School

Abstract

Prior studies of the Australian Rugby League betting market report a degree of predictability well in excess of that attributable to chance. However, two important recent changes in the structure of the market facilitate an unambiguous assessment of the statistical significance of predictability and the economic significance of returns to betting strategies. The present paper reexamines the efficiency of the Australian Rugby League betting market under the revised market structure. In addition, a set of measures of the economic significance of trading strategies are developed and implemented. Relative to prior studies, the out-of-sample success of the predictive model has diminished notably under the revised market structure; although a naive strategy betting on home underdogs still performs significantly better than can be attributed to chance. Simulation experiments suggest that the documented level of predictability from several strategies generates economically significant returns.

JEL Classification: G12, G14

Suggested Citation

Gray, Philip and Gray, Stephen and Roche, Timothy, Efficiency of Football Betting Markets: The Economic Significance of Trading Strategies. Accounting and Finance, Vol. 45, No. 2, pp. 269-281, July 2005. Available at SSRN: https://ssrn.com/abstract=729467

Philip Gray (Contact Author)

Department of Banking and Finance, Monash University ( email )

Building H
Caulfield, Victoria 3141
Australia

Stephen Gray

University of Queensland - Business School ( email )

University of Queensland
Brisbane, Queensland 4072
Australia

Duke University - Fuqua School of Business

Box 90120
Durham, NC 27708-0120
United States

Financial Research Network (FIRN) ( email )

C/- University of Queensland Business School
St Lucia, 4071 Brisbane
Queensland
Australia

Timothy Roche

University of Queensland - Business School

Brisbane, Queensland 4072
Australia

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