Abstract
Some behavioral asset pricing theories assume that investors pay less than optimal attention to implicit aspects of available information. We use a sports betting market as a laboratory to test this conjecture, analyzing the beliefs of professional bookmakers for outcomes of tennis matches, exploiting exogenous variation in an implicit yet material aspect of information, related to the length that different matches are played according to tournament regulations. We find that bookmakersâ beliefs do not fully reflect the effect of match length, which significantly reduces their profits. Our results provide causal evidence that limited attention leads to systematic biases in beliefs.
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