Abnormal Returns of Soccer Teams: Reassessing the Informational Value of Betting Odds

Journal of Sports Economics, Vol. 16, No. 7, 2015

30 Pages Posted: 4 Feb 2012 Last revised: 19 Feb 2018

See all articles by Massimiliano Castellani

Massimiliano Castellani

Department of Statistics

Pierpaolo Pattitoni

University of Bologna, Department of Statistical Sciences; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Roberto Patuelli

University of Bologna - Department of Economics

Multiple version iconThere are 2 versions of this paper

Date Written: August 26, 2013

Abstract

We analyse the links between soccer match results, betting odds and stock returns of all listed European soccer teams. Using an event-study approach, we measure positive (negative) abnormal returns following wins (ties and losses). Additionally, we analyse the role, which we find to be non-significant, of betting odds in shaping market reactions to unexpected results. We propose an alternative econometric approach, using seemingly unrelated regressions models, to take into account the problem of overlapping events. Abnormal returns following unexpected results are then found to be statistically significant, and to magnify the positive (negative) effects of wins (losses).

Keywords: Information and Market Efficiency, Event Studies, Soccer, Bets, Event Clustering, Seemingly Unrelated Regression Equation (SUR)

JEL Classification: G14, L83, C30

Suggested Citation

Castellani, Massimiliano and Pattitoni, Pierpaolo and Patuelli, Roberto, Abnormal Returns of Soccer Teams: Reassessing the Informational Value of Betting Odds (August 26, 2013). Journal of Sports Economics, Vol. 16, No. 7, 2015, Available at SSRN: https://ssrn.com/abstract=1998335 or http://dx.doi.org/10.2139/ssrn.1998335

Massimiliano Castellani

Department of Statistics ( email )

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Pierpaolo Pattitoni

University of Bologna, Department of Statistical Sciences ( email )

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Bologna, Bologna 40126
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Roberto Patuelli (Contact Author)

University of Bologna - Department of Economics ( email )

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