Event Clustering and Abnormal Returns: Reassessing the Informational Value of Bets

Quaderni DSE Working Paper No. 817

25 Pages Posted: 14 Mar 2012  

Massimiliano Castellani

University of Bologna - Department of Economics

Pierpaolo Pattitoni

University of Bologna - Department of Management; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Roberto Patuelli

University of Bologna - Department of Economics; University of Bologna - Rimini Center for Economic Analysis (RCEA)

Multiple version iconThere are 2 versions of this paper

Date Written: March 9, 2012

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).

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, Event Clustering and Abnormal Returns: Reassessing the Informational Value of Bets (March 9, 2012). Quaderni DSE Working Paper No. 817. Available at SSRN: https://ssrn.com/abstract=2021156 or http://dx.doi.org/10.2139/ssrn.2021156

Massimiliano Castellani (Contact Author)

University of Bologna - Department of Economics ( email )

Strada Maggiore 45
Bologna, 40125
Italy

Pierpaolo Pattitoni

University of Bologna - Department of Management ( email )

Via Capo di Lucca, 34
Bologna, 40126
Italy

University of Bologna - Rimini Center for Economic Analysis (RCEA) ( email )

Via Patara, 3
Rimini (RN), RN 47900
Italy

Roberto Patuelli

University of Bologna - Department of Economics ( email )

via Anghera' 22
Rimini, 47921
Italy
+39-0541-434276 (Phone)
+39-02-700419665 (Fax)

HOME PAGE: http://https://sites.google.com/site/patuellihomepage/

University of Bologna - Rimini Center for Economic Analysis (RCEA)

Via Patara, 3
Rimini (RN), RN 47900
Italy

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