Testing Market Efficiency: Evidence From The NFL Sports Betting Market
用概率模型替代传统回归方法，检验美国国家橄榄球联盟博彩市场的效率，发现基于概率的投注策略在样本内能产生统计上显著的利润，但样本外结果不一致，且市场低效现象随时间减弱。
ABSTRACT This article examines the efficiency of the National Football League (NFL) betting market. The standard ordinary least squares (OLS) regression methodology is replaced by a probit model. This circumvents potential econometric problems, and allows us to implement more sophisticated betting strategies where bets are placed only when there is a relatively high probability of success. In‐sample tests indicate that probit‐based betting strategies generate statistically significant profits. Whereas the profitability of a number of these betting strategies is confirmed by out‐of‐sample testing, there is some inconsistency among the remaining out‐of‐sample predictions. Our results also suggest that widely documented inefficiencies in this market tend to dissipate over time.