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Sports Sentiment and Stock Returns
Alex Edmans University of Pennsylvania - The Wharton School Diego Garcia University of North Carolina at Chapel Hill Oyvind Norli Norwegian School of Management (BI) - Department of Financial Economics May 2006 Sixteenth Annual Utah Winter Finance Conference EFA 2005 Moscow Meetings Abstract: 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.
Keywords: Football, sports, soccer, sentiment, mood, stock returns, behavioral finance JEL Classifications: A12, G14 Working Paper SeriesDate posted: March 02, 2005 ; Last revised: November 07, 2006Suggested CitationContact Information
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