Efficiency of Football Betting Markets: The Economic Significance of Trading Strategies
13 Pages Posted: 8 Jun 2005
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: Suggested Citation
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
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Efficiency of Football Betting Markets: The Economic Significance of Trading Strategies
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