Reexamining sports-sentiment hypothesis: Microeconomicevidences from Borsa Istanbul

Fung, Ka Wai, Demir, Ender, Lau, Chi Keung and Chan, Kwok Ho (2015) Reexamining sports-sentiment hypothesis: Microeconomicevidences from Borsa Istanbul. Journal of International Financial Markets Institutions & Money, 34. pp. 337-355. ISSN 1042-4431

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Official URL: http://dx.doi.org/10.1016/j.intfin.2014.11.015

Abstract

This paper examines the impact of international soccer matches on the Turkish stock mar-ket using firm-level and sorted-portfolio data. Applying Edmans et al. (2007) estimation method, we found a significant negative loss effect. However, once using panel data analysis as well as modeling spatial and temporal effects explicitly, the sports-sentiment effect disappeared. The same conclusions could be made by replacing win (loss) dummies with unexpected win (loss) variables, removing Monday matches, dropping sports-related firms,and sorting portfolio returns by market capitalization and past returns. Hence, there is very limited micro-evidence to support the ‘overreaction’ hypothesis of individual investors using Borsa Istanbul data. However, we found evidence that sporting events have a larger impact on stock return volatility for firms with smaller market capitalization and lower past returns.

Item Type: Article
Uncontrolled Keywords: Individual-investor sentiment, event study, market efficiency, neuroeconomics, sports economics
Subjects: L100 Economics
N300 Finance
Department: Faculties > Business and Law > Newcastle Business School > Business and Management
Depositing User: Chi Keung Lau
Date Deposited: 06 Jan 2015 09:02
Last Modified: 19 Oct 2016 16:54
URI: http://nrl.northumbria.ac.uk/id/eprint/18566

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