Price Volatility and Contract Maturity: Evidence from an Online Futures Market for Sports Tickets

In this study, we test the relationship between price volatility and contract maturity, or the “Samuelson effect,” using futures contract prices for a major sports event. Applying four different performance measures, we show supportive evidence of the Samuelson effect in futures contracts for tickets to the Super Bowl XLIII [2009], using the dynamic panel estimation method. Our main contributions are testing the existing theories in a novel setting with unique product features and advancing our understanding of the prediction market for sports events.