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.