The power of momentum: An analysis of momentum extremes within sports betting

Abstract: In this paper I examine 20862 betting contracts within the sport of soccer for the last decade within 5 major leagues. I perform tests of pricing anomalies for different instances of momentum by using sports betting as a laboratory environment. I find evidence of overreaction within the general price movements and for standard momentum portfolios. I do not find sufficient evidence to conclude the economic magnitude of momentum extremes which could be explained by the characteristics of the chosen dataset.