Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul


Fung K. W. T. , DEMİR E. , Lau C. K. M. , Chan K. H.

JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY, cilt.34, ss.337-355, 2015

  • Cilt numarası: 34
  • Basım Tarihi: 2015
  • Doi Numarası: 10.1016/j.intfin.2014.11.015
  • Dergi Adı: JOURNAL OF INTERNATIONAL FINANCIAL MARKETS INSTITUTIONS & MONEY
  • Sayfa Sayısı: ss.337-355

Özet

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. (C) 2014 Elsevier B.V. All rights reserved.