NFL Moneyline Market Efficiency: Predictability of Odds Movements and the Overvaluation of Home-Field Advantage

This thesis evaluates the degree to which the NFL moneyline market - one of the highest volume sports betting markets - aligns with weak-form market efficiency by analyzing high-frequency odds data from the 2020 to 2024 seasons. This study discovers significant predictability in the direction that odds will shift throughout the week leading up to kickoff, as a result of the sportsbooks’ adjustments to sharp action, rather than injury news. Furthermore, this study discovers that the market has overvalued the home field advantage in forecasted close games, leading to a profitable system by betting on away teams in games with predicted win probabilities between 0.3 and 0.7. These findings highlight persistent market inefficiencies, revealing advice for NFL moneyline bettors, as a result of how this market attempts to exploit recreational betting tendencies.