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
|
Text
Sport sentiment 7.21.pdf - Accepted Version Download (731kB) | Preview |
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 |
| Depositing User: | Chi Keung Lau |
| Date Deposited: | 06 Jan 2015 09:02 |
| Last Modified: | 31 Jul 2021 21:30 |
| URI: | http://nrl.northumbria.ac.uk/id/eprint/18566 |
Actions (login required)
 |
View Item |
Downloads
Downloads per month over past year
