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Purpose The purpose of this paper is to explore whether stocks in football clubs are valued in line with the valuation of other capital assets in the capital market. Moreover, it analyzes the risk profile of football stocks. By taking this perspective, the paper also contributes to the discussion on the motives of those who invest in football clubs, particularly the question of whether they expect extra benefits, i.e., in addition to dividends and share price appreciation, from the investments. Design/methodology/approach The empirical study analyzes the share prices of 19 listed European football clubs from January 2010 to December 2016. Building on the capital asset pricing model, the authors used Zellner’s (1962) seemingly unrelated regressions. Findings The results indicate that the majority of the football clubs in the sample are overvalued. This implies that investments in football stocks are mainly attractive for those investors who expect to derive extra benefits from their investment. That might be likely for strategic, patron and fan investors, but not for purely financial investors. Research limitations/implications As a next step, more advanced factor models could be applied to the analysis. Practical implications For investors, the results imply that portfolio diversification is particularly beneficial while buying football stocks. For football clubs, the rather low general market risk, combined with the overvaluation, leads to low equity costs when new shares are issued. Originality/value The results suggest that dividends and share price appreciation are not the only benefits football stock owners derive from the stocks, thus underlining that further investigations in their motives to hold football stocks are very promising.

Purpose The purpose of this paper is to test the so-called “Sell in May” effect in globally listed private equity markets based on monthly data covering the period 2004–2017. Design/methodology/approach Ordinary least squares regressions, generalized autoregressive conditional heteroscedasticity regressions and robust regressions are used to investigate the existence of the “Sell in May” effect in globally listed private equity markets. Additionally, the authors conduct robustness checks by dividing the sample period into two subperiods: pre-financial and post-financial crisis periods. Findings The authors find limited statistically significant evidence for the “Sell in May” effect. In particular, the authors observed a statistically significant “Sell in May” effect when taking time-varying volatility into account. These findings indicate that the “Sell in May” effect is driven by time-varying volatility. By contrast, economic significance as measured by visual return inspection and the magnitude of the estimated “Sell in May” coefficients in combination with their positive signs was found to be considerable. Practical implications The findings are important for all kinds of investors and asset managers who are considering investing in listed private equity. Originality/value The authors present a novel study that examines the “Sell in May” effect for globally listed private equity markets by using LPX indices, offering valuable insight into this growing asset class.

Purpose The purpose of this paper is, to study macroeconomic risk factors driving the expected stock returns of listed private equity (LPE). The authors use LPE indices divided into different styles and regions from January 2004 to December 2016 and a set of country stock indices to estimate the macroeconomic risk profiles and corresponding risk premiums. Using a seemingly unrelated regressions (SUR) model to estimate factor sensitivities, the authors document that LPE indices exhibit stock market βs that are greater than 1. A one-factor asset pricing model using world stock market returns as the only possible risk factor is rejected on the basis of generalized method of moments (GMM) orthogonality conditions. In contrast, using the change in a currency basket, the G-7 industrial production, the G-7 term spread, the G-7 inflation rate and a recently proposed indicator of economic policy uncertainty as additional risk factors, this multifactor model is able to price a cross-section of expected LPE returns. The risk-return profile of LPE differs from country equity indices. Consequently, LPE should be treated as a separate asset class. Design/methodology/approach Following Ferson and Harvey (1994), the authors use an unconditional asset pricing model to capture the structure of returns across LPE. The authors use 11 LPE indices divided into different styles and regions from January 2004 to December 2016, and a set of country stock indices as spanning assets to estimate the macroeconomic risk profiles and corresponding risk premiums. Findings Using a seemingly unrelated regressions (SUR) model to estimate factor sensitivities, the authors document that LPE indices exhibit stock market ßs that are greater than 1. The authors estimate a one-factor asset pricing model using world stock market returns as the only possible risk factor by GMM. This model is rejected on the basis of the GMM orthogonality conditions. By contrast, a multifactor model built on the change in a currency basket, the G-7 industrial production, the G-7 term spread, the G-7 inflation rate and a recently proposed indicator of global economic policy uncertainty as additional risk factors is able to price a cross-section of expected LPE returns. Research limitations/implications Given data availability, the authors’ sample is strongly influenced by the financial crisis and its aftermath. Practical implications Information about the risk profile of LPE is important for asset allocation decisions. In particular, it may help to optimally react to contemporaneous changes in economy-wide risk factors. Originality/value To the best of authors’ knowledge, this is the first LPE study which investigates whether a set of macroeconomic factors is actually priced and, therefore, associated with a non-zero risk premium in the cross-section of returns.

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