Event Clustering and Abnormal Returns: Reassessing the Informational Value of Bets
University of Bologna - Department of Economics
University of Bologna - Department of Management; University of Bologna - Rimini Center for Economic Analysis (RCEA)
University of Bologna - Department of Economics; University of Bologna - Rimini Center for Economic Analysis (RCEA)
March 9, 2012
Quaderni DSE Working Paper No. 817
We analyse the links between soccer match results, bets and stock returns of all listed European soccer teams. Using an event study approach, we measure abnormal returns following wins, ties and losses. Wins are associated with positive abnormal returns, and ties and losses with negative abnormal returns. Additionally, we analyse the role of bets in shaping market reactions to unexpected results, which we find to be non-significant. We propose an alternative econometric approach, using seemingly unrelated regression models, to take into account the problem of overlapping events. While our results concerning match results are confirmed, abnormal returns following unexpected results are found to be statistically significant and to magnify the positive (negative) effects of wins (losses).
Number of Pages in PDF File: 25
Keywords: Information and Market Efficiency, Event Studies, Soccer, Bets, Event Clustering, Seemingly Unrelated Regression Equation (SUR)
JEL Classification: G14, L83, C30
Date posted: March 14, 2012
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