Event Clustering and Abnormal Returns: Reassessing the Informational Value of Bets

Castellani, Massimiliano; Pattitoni, Pierpaolo; Patuelli, Roberto

doi:10.2139/ssrn.1998335

Cited by 4 publications

(6 citation statements)

References 46 publications

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“…This can be interpreted as evidence that a tie is not priced by the stock market, which does not consider it an informative event. Our results confirm previous evidence by Fotaki et al (2009) and Palomino et al (2009), but contrast with the findings reported in most previous literature, which identifies a negative stock market reaction following a tie (Renneboog and Vanbrabant, 2000;Stadtmann, 2004;Duque and Ferreira, 2005;Benkraiem et al, 2009;Palomino et al, 2009;Scholtens and Peenstra, 2009;Demir and Danis, 2011;Castellani et al, 2015). This can be explained by recalling that extant literature mainly focuses on national competitions, while our paper analyzes only UCL matches.…”

Section: Correlation Matrix Emjbsupporting

confidence: 84%

Do financial markets price UEFA Champions League competition events?

Soana

Lippi

Rossi

2022

EMJB

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PurposeThis paper investigates the stock market reaction to three different events related to the UEFA Champions League – the announcements of draws, odds and match results. The aim of the paper is to test whether these events are informative for stock market operators, i.e. whether they produce abnormal returns.Design/methodology/approachApplying the event study methodology, the authors investigate the stock market reaction before (at two events: the draw date and on the release of betting odds) and after the matches of 11 listed soccer teams in the period 2003–2019. The authors also conduct OLS regression analyses in order to disentangle the impact of firm specific variables and match characteristics on cumulative abnormal returns.FindingsThis paper finds that match outcomes affect the stock market performance of listed teams, while the announcements of draws and odds do not. More specifically, the market does not consider match outcomes involving wins and ties as informative events, while it penalizes losing teams. Moreover, investor reactions to events related to the UCL competition depend more on match characteristics than on company specific variables.Originality/valueThe study enriches the ongoing debate about the impact of soccer team results on stock market performance in several ways: using the widest time span ever adopted in this area; focusing on UCL, which is the most important soccer competition played by private clubs; disentangling for the first time the effects of draws, odds release and sporting outcome on stock returns of listed soccer clubs.

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Section: Correlation Matrix Emjbsupporting

confidence: 84%

Do financial markets price UEFA Champions League competition events?

Soana

Lippi

Rossi

2022

EMJB

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“…However, they do not consider sentiments or pre-match expectations as a predictor. Castellani et al (2015) studied the relationships among soccer match results, betting odds, and stock returns of 23 European soccer teams. They conclude that wins usually lead to price increases, and draws and defeats lead to price decreases with defeats having a larger impact.…”

Section: Match Performance Importance and Expectationsmentioning

confidence: 99%

Can Social Media Predict Soccer Clubs’ Stock Prices? The Case of Turkish Teams and Twitter

et al. 2021

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Finance literature in sports focuses on three main methods of stock price prediction in soccer: based on match results, pre-match expectations, or match importance. For pre-match expectations, betting odds is commonly used as the indicator of investors’ sentiments. We propose to include Twitter data as another indicator of this variable, and analyze the links among soccer match results, sentiments, and stock returns of the four major Turkish soccer teams. Our results show that social media can be a strong indicator of pre-match expectations and investors’ sentiments in stock price prediction.

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“…It is concluded that the investors are driven by the sentiments conveyed by rivalry. For all 23 listed European soccer teams, Castellani et al (2015) document that wins are followed by positive abnormal returns while ties and losses are followed by negative abnormal returns. And a loss effect is again observed.…”

Section: Introductionmentioning

confidence: 97%

“…However, the performance of soccer clubs will also influence the expected cash flows and revenues which will affect the stock prices. Therefore, the performance-stock return relation depends on both rational expectations and behavioral finance theory (Castellani et al 2015). Scholtens and Peenstra (2009) find that wins (losses) lead a positive (negative) stock market response for 8 teams from 5 countries during [2000][2001][2002][2003][2004].…”

Section: Introductionmentioning

confidence: 99%

New Season New Hopes: Off-Season Optimism

Ersan¹,

Demir²

2017

EJEF

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While literature on the relation between on-field sports performance and stock returns is ample, there is very limited evidence on off-season stage. Constituting around 3 months, off-seasons do not only occupy a significant part of the year but also represent totally different characteristics than on-seasons. They lack the periodic, unambiguous news events in on-seasons (match results), instead they are associated with highly uncertain transfer news and rumors. We show that this distinction has several impacts on the stock market performances of soccer clubs. Most notably, off-seasons generate substantially higher (excess) returns. After controlling for other variables, the estimated effect of off-season periods is as high as 38.75%, annually. In line with several seminal studies, we link this fact to increased optimism and betting behavior through uncertain periods; and periods prior to the start of a new calendar (in our case, new season). For all of the examined 7 clubs (3 from Italy and 4 from Turkey), mean excess returns over the market are positive (negative) in off-seasons (on-seasons). On-seasons are associated with increased trading activity due to more frequent news. Stocks of Italian clubs are evidently more volatile through off-seasons while volatility results for the stocks of Turkish clubs are not consistent.

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Event Clustering and Abnormal Returns: Reassessing the Informational Value of Bets

Cited by 4 publications

References 46 publications

Do financial markets price UEFA Champions League competition events?

Do financial markets price UEFA Champions League competition events?

Can Social Media Predict Soccer Clubs’ Stock Prices? The Case of Turkish Teams and Twitter

New Season New Hopes: Off-Season Optimism

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