We conduct an experiment with regular sports bettors to investigate how they value their bets and form expectations about winning probabilities. We find that subjects assign higher certainty equivalents and winning probabilities to sports bets than to neutral urn-and-balls lotteries with identical odds, even though, in fact, they are not more likely to win. The results point to bettors being overconfident in their ability to predict sports outcomes. Coupled with data on betting frequency and motives, our experimental evidence indicates that, by leveraging gamblers' overconfidence, sports betting exacerbates their financial losses.