Reexamining sports-sentiment hypothesis : Microeconomic evidences from Borsa Istanbul

Ka Wai Terence Fung; Ender Demir; Chi Keung Marco Lau; Kwok Ho Chan

doi:10.1016/j.intfin.2014.11.015

Reexamining sports-sentiment hypothesis : Microeconomic evidences from Borsa Istanbul

Ka Wai Terence Fung, Ender Demir, Chi Keung Marco Lau, Kwok Ho Chan

Research output: Contribution to journal › Article › peer-review

7 Citations (Scopus)

Abstract

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.

Original language	English
Pages (from-to)	337-355
Number of pages	19
Journal	Journal of International Financial Markets, Institutions and Money
Volume	34
DOIs	https://doi.org/10.1016/j.intfin.2014.11.015
Publication status	Published - 1 Jan 2015

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© 2014 Elsevier B.V.

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Copyright 2015 Elsevier B.V., All rights reserved.

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10.1016/j.intfin.2014.11.015

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title = "Reexamining sports-sentiment hypothesis : Microeconomic evidences from Borsa Istanbul",

abstract = "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.",

author = "Fung, \{Ka Wai Terence\} and Ender Demir and Lau, \{Chi Keung Marco\} and Chan, \{Kwok Ho\}",

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AU - Demir, Ender

AU - Lau, Chi Keung Marco

AU - Chan, Kwok Ho

PY - 2015/1/1

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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.

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JO - Journal of International Financial Markets, Institutions and Money

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Reexamining sports-sentiment hypothesis : Microeconomic evidences from Borsa Istanbul

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