Exploiting the “Win But Does Not Cover” Phenomenon in College Basketball
研究发现大学篮球中强队赢球但不覆盖盘口的异常现象，并提出一种对冲策略，通过下注弱队盘口和强队独赢，实现每场平均0.34%的回报，在七个赛季中有五个赛季正收益。
Abstract Wolfers (2006) was the first to document that heavy favorites in college basketball win but fail to cover the pre‐game point spread at a statistically higher rate than expected. We generate a hedged strategy to exploit the “win but does not cover” phenomenon using two wagers: a bet on the underdog sides line and a bet on the favorite money line. While one bet is guaranteed to win regardless of the outcome, both bets win if the favorite wins but does not cover. We show that the minimum‐variance portfolio best exploits this anomaly, yielding an average return of 0.34% per game and a positive return in five of the seven seasons of college basketball analyzed.