RobinHanson comments on Why Support the Underdog? - Less Wrong
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Your mention of signaling gives me an idea.
What if the mechanism isn't designed to actually support the underdog, but to signal a tendency to support the underdog?
In a world where everyone supports the likely winner, Zug doesn't need to promise anyone anything to keep them on his side. But if one person suddenly develops a tendency to support the underdog, then Zug has to keep him loyal by promising him extra rewards.
The best possible case is one where you end up on Zug's side, but only after vacillating for so long that Zug is terrified you're going to side with Urk and promises everything in his power to win you over. And the only way to terrify Zug that way is to actually side with Urk sometimes.
It seems that supporting an underdog is a more impressive act - it suggests more confidence in your own abilities, and your ability to withstand retribution from the overdog. I'm not sure we do actually support the underdog more when a costly act is required, but we probably try to pretend to support the underdog when doing so is cheap, so we can look more impressive.