Open Access
Sports betting and the Black-Litterman model: a new portfolio-management perspective
(FiT Publishing, 2021) Abinzano Guillén, María Isabel; Campión Arrastia, María Jesús; Muga Caperos, Luis Fernando; Raventós Pujol, Armajac; Institute for Advanced Research in Business and Economics - INARBE
This paper transfers and adapts the Black-Litterman portfolio management model and its subsequent generalizations to the characteristics and specificities of assets quoted on sports betting markets. The results show that these assets are suitable for the application of portfolio management models with possible inclusion of investors' opinions. Information based on the variability of market prices and the attention received by NBA teams in Google Trends is successfully used to simulate the opinions expressed by a hypothetical portfolio manager. Furthermore, this makes these assets suitable for inclusion in portfolios in which managers are seeking returns uncorrelated with other assets.
Open Access
The role of small bettors in price formation in betting exchanges
(Routledge, 2020) Abinzano Guillén, María Isabel; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Institute for Advanced Research in Business and Economics - INARBE
The presence of small bettors in betting exchanges generates mispricing, which can lead to exploitation by informed traders or result in permanent price deviations. This paper shows that mispricing from this source is also dependent upon variables of established relevance such as tournament round, the level of attention to the event, the volume of the betting, and bet type, further confirming these findings by means of cumulative accuracy profile (CAP) curves. It also offers evidence of the relevant role played by the type of device used to place the bet, whereby higher mispricing is observed in live bets placed via a mobile device, which appears to be associated with impulsive betting. This last finding could have practical implications for the regulation of the use of mobile devices to access gambling platforms.
Open Access
Behavioral biases never walk alone: an empirical analysis of the effect of overconfidence on probabilities
(SAGE, 2014) Abinzano Guillén, María Isabel; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Gestión de Empresas; Enpresen Kudeaketa
This paper presents evidence of the impact of overconfidence bias in asset prices drawn from a study based on data from tennis betting exchanges. A series of betting strategies in tournaments with a clear-cut favourite are shown to yield significant economic returns. The impact of overconfidence bias on betting odds increases with trading volume, media coverage, and levels of disagreement between overconfident and Cumulative Prospect Theory bettors. Just as in traditional financial markets, arbitrage limits are shown to be a necessary condition for the impact of behavioural biases on prices.
Open Access
Hidden power of trading activity: the FLB in tennis betting exchanges
(SAGE Publications, 2017) Abinzano Guillén, María Isabel; Muga Caperos, Luis Fernando; Santamaría Aquilué, Rafael; Institute for Advanced Research in Business and Economics - INARBE
This paper examines the impact of trading activity on the Favourite-Longshot Bias (FLB) in tennis Betting Exchanges, using direct measures such as betting volume, average bet and standard deviation of the odds. According to predictions based on Disagreement Models, odds mispricing is positively associated with trading volume but negatively associated with the presence of institutional bettors. The FLB is also positively related to the degree of uncertainty in the market. The existence of two simultaneous markets (a “main” and an “alternative” market) in this specific sports-betting environment has enabled us to observe that the relative amount of attention given to the favourite versus that given to the long shot is positively associated with the FLB. Finally, information is more rapidly incorporated into the odds in the market that receives more attention from bettors, an effect that is intensified by the arbitrage and hedging that occurs between the two markets.

Abinzano Guillén, María Isabel

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