March Madness and Investor Mood
University of South Florida - College of Business Administration
November 18, 2012
We examine the relationship between NCAA basketball end-of-season tournament (“March Madness”) results and stock returns of firms located in the vicinity of competing teams’ campuses. We find that stocks of firms located around expected winners (higher ranked teams) perform poorly if the team unexpectedly loses. For example, an upset loss leads to abnormal stock returns of -41 basis points. The decline following all basketball losses is also significant but investors punish unexpected losses more. These results, associated with upsets persist and intensify with riskier stocks, more important games and closer distance. The returns around winning universities are found to be less significant.
Number of Pages in PDF File: 20
Keywords: Behavior Finance, Sports Sentiment
JEL Classification: G12, G14
Date posted: November 19, 2012
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