Abstract

http://ssrn.com/abstract=1081286
 
 

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Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market


Guy Kaplanski


Bar-Ilan University - Graduate School of Business Administration

Haim Levy


Hebrew University of Jerusalem - Jerusalem School of Business Administration; Fordham University

May 1, 2008

Journal of Financial and Quantitative Analysis (JFQA), Vol. 45, No. 2, pp. 535-553, April 2010

Abstract:     
In a recently published paper, Edmans, Garc¿a, and Norli (2007) reveal a strong association between results of soccer games and local stock returns. Inspired by their work, we propose a novel approach to exploit this effect on the aggregate international level with the following three unique features: (i) The aggregate effect does not depend on the games results; hence, the effect is an exploitable predictable effect. (ii) The aggregate effect is based on many games; hence, it is very large and highly significant. We find that the average return on the U.S. market over the World Cup's effect period is -2.58%, compared to 1.21% for all-days average returns over the same period length. (iii) Exploiting the aggregate effect is involved with trading in a single index for a relatively long period.

Number of Pages in PDF File: 29

Keywords: exploitable predictable effect, mood event effect, market sentiment, behavioral finance, abnormal returns

JEL Classification: A12, A14, F21, G14

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Date posted: March 27, 2008 ; Last revised: December 28, 2010

Suggested Citation

Kaplanski, Guy and Levy, Haim, Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market (May 1, 2008). Journal of Financial and Quantitative Analysis (JFQA), Vol. 45, No. 2, pp. 535-553, April 2010. Available at SSRN: http://ssrn.com/abstract=1081286

Contact Information

Guy Kaplanski (Contact Author)
Bar-Ilan University - Graduate School of Business Administration ( email )
Ramat Gan
Israel
Haim Levy
Hebrew University of Jerusalem - Jerusalem School of Business Administration ( email )
Mount Scopus
Jerusalem, 91905
Israel
Fordham University ( email )
140 West 62nd Street
New York, NY 10023
United States

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