An intra-week efficiency analysis of bookie-quoted NFL betting lines in NYC

• We analyze the weekly evolution of illegal bookie-quoted NFL betting lines in NYC.
• Our unique data set has three, not two, sequential betting lines for each betting week.
• Forecast encompassing tests show that information content increases during the betting week.
• We find significant evidence of pricing inefficiencies relating to sentiment.
• Pro gamblers make profits from actual bets—perhaps they are superior analysts.

We analyze the intra-week evolution of bookie-quoted National Football League betting lines in New York City and its implications for market efficiency. Our unique data set includes three sequential lines: (i) an outlaw line set by a single agent at the beginning of the week; (ii) Tuesday's opening line shaped by bets from a group of eight to ten agents; and (iii) a game-time closing line shaped by the wider public. While forecast encompassing tests show that information content increases during the betting week, consistent with a reasonably well-functioning market, we also uncover significant evidence of pricing inefficiencies relating to sentiment measures. In addition, actual bets made by a number of professional gamblers appear profitable, pointing to the existence of superior analysts.