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.

中文翻译：

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资产定价和体育博彩

体育博彩市场提供了一个新的实验室来测试横截面资产定价异常的理论。这个市场的两个特征——没有系统性风险和博彩活动外生的终端价值——规避了联合假设问题，从而可以检测到错误定价。检查大量多样的流动性博彩合约，我发现强有力的势头证据，与延迟的过度反应一致，与反应不足和理性定价不一致。回报只是金融市场的一小部分，并且无法克服交易成本，从而阻止套利消除它们。来自博彩的洞察也预测了美国股市的价值和动量回报。