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Event Clustering and Abnormal Returns: Reassessing the Informational Value of BetsMassimiliano CastellaniUniversity of Bologna - Department of Economics; University of Bologna - Rimini Center for Economic Analysis (RCEA) Pierpaolo PattitoniUniversity of Bologna - Department of Management; University of Bologna - Rimini Center for Economic Analysis (RCEA) Roberto PatuelliUniversity of Bologna - Department of Economics; University of Bologna - Rimini Center for Economic Analysis (RCEA) March 9, 2012 Quaderni DSE Working Paper No. 817 Abstract: 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 working papers seriesDate posted: March 14, 2012Suggested CitationContact Information
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