Gambling on Momentum in Contests

News breaks cleanly in sports betting markets, making them laboratories for theories of asset pricing anomalies and risky behaviour. Using a dataset from a major European bookmaker, containing the volumes staked second-by-second on German Bundesliga football match outcomes, we test for evidence of momentum-following investing and pricing behaviour within these dynamic markets. We exploit the sequencing of goals that led to common in-play 1-1 scorelines. The markets behave as though there is value in the team that has just scored an equaliser in a tight match. Immediately following such news, overall demand for claims increases and investors stake 60% more on the equalising team to win, by ''completing a comeback'', than on their opponent who conceded, controlling for the history of the market and match. But this betrays a myth that does not fool the bookmaker; there is no evidence that who scored last in a match at parity tends to affect the final outcome nor the prices offered. Taken together, these findings illustrate that gamblers systematically make poor decisions in the moment, based on inconsequential patterns.