Do Sportsbooks Follow Bayesian Updating?

We study how sportsbooks update their odds over time. While recent literature has focused on price evolution in betting exchanges, the majority of sports betting volume occurs on sportsbooks. We analyze a custom dataset of odds from 12 sportsbooks. We test whether the stream of odds quotes follows the properties of Bayesian updating. For many sportsbooks, We find excess volatility in odds updates, inconsistent with a stream of Bayesian beliefs. Our conclusions extend previously documented excess volatility on betting exchanges to the realm of sportsbooks.