TY - JOUR
T1 - Reexamining sports-sentiment hypothesis : Microeconomic evidences from Borsa Istanbul
AU - Fung, Ka Wai Terence
AU - Demir, Ender
AU - Lau, Chi Keung Marco
AU - Chan, Kwok Ho
N1 - Publisher Copyright:
© 2014 Elsevier B.V.
Copyright:
Copyright 2015 Elsevier B.V., All rights reserved.
PY - 2015/1/1
Y1 - 2015/1/1
N2 - This paper examines the impact of international soccer matches on the Turkish stock market 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.
AB - This paper examines the impact of international soccer matches on the Turkish stock market 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.
UR - http://www.scopus.com/inward/record.url?scp=84920190561&partnerID=8YFLogxK
U2 - 10.1016/j.intfin.2014.11.015
DO - 10.1016/j.intfin.2014.11.015
M3 - Article
AN - SCOPUS:84920190561
SN - 1042-4431
VL - 34
SP - 337
EP - 355
JO - Journal of International Financial Markets, Institutions and Money
JF - Journal of International Financial Markets, Institutions and Money
ER -