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Reexamining Sports-Sentiment Hypothesis: Microeconomic Evidences from Borsa Istanbul

Fung, Ka Wai Terence, Demir, Ender, Lau, Marco Chi Keung and Chan, Kwok Ho (2015) Reexamining Sports-Sentiment Hypothesis: Microeconomic Evidences from Borsa Istanbul. Journal of International Financial Markets, Institutions and Money, 34. pp. 337-355. ISSN 1042-4431

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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.

Item Type: Article
Uncontrolled Keywords: Individual-investor sentiment; Event study; Market efficiency; Neuroeconomics; Sports economics
Subjects: H Social Sciences > HB Economic Theory
Schools: Huddersfield Business School
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Depositing User: Jonathan Cook
Date Deposited: 14 Nov 2017 16:03
Last Modified: 15 Nov 2017 01:09
URI: http://eprints.hud.ac.uk/id/eprint/33899

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