Sports Sentiment and Stock Returns
London Business School - Institute of Finance and Accounting; University of Pennsylvania - The Wharton School; National Bureau of Economic Research (NBER); European Corporate Governance Institute (ECGI); Centre for Economic Policy Research (CEPR)
University of North Carolina at Chapel Hill - Finance Area
BI Norwegian Business School - Department of Financial Economics
May 1, 2006
Journal of Finance 62(4), 1967-1998, August 2007
This paper investigates the stock market reaction to sudden changes in investor mood. Motivated by psychological evidence of a strong link between soccer outcomes and mood, we use international soccer results as our primary mood variable. We find a significant market decline after soccer losses. For example, a loss in the World Cup elimination stage leads to a next-day abnormal stock return of -49 basis points. This loss effect is stronger in small stocks and in more important games, and is robust to methodological changes. We also document a loss effect after international cricket, rugby, and basketball games.
Number of Pages in PDF File: 47
Keywords: Football, sports, soccer, sentiment, mood, stock returns, behavioral finance
JEL Classification: A12, G14Accepted Paper Series
Date posted: March 2, 2005 ; Last revised: December 20, 2013
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