Asset Pricing and Sports Betting
利用体育博彩市场无系统性风险和终端价值外生的特点，检验了横截面资产定价异象，发现动量效应源于延迟过度反应，且收益不足以覆盖交易成本，套利无法消除该异象。
ABSTRACT Sports betting markets offer a novel laboratory to test theories of cross‐sectional asset pricing anomalies. Two features of this market—no systematic risk and terminal values exogenous to betting activity—evade the joint hypothesis problem, allowing mispricing to be detected. Examining a large and diverse set of liquid betting contracts, I find strong evidence of momentum, consistent with delayed overreaction and inconsistent with underreaction and rational pricing. Returns are a fraction of those in financial markets and fail to overcome transactions costs, preventing arbitrage from eliminating them. An insight from betting also predicts value and momentum returns in U.S. equities.