Munich Personal RePEc Archive

An Examination of Sports Event Sentiment: Microeconomic Evidence from Borsa Istanbul

Fung, Ka Wai Terence and Demir, Ender and Lau, Marco Chi Keung and Chan, Kwok Ho (2013): An Examination of Sports Event Sentiment: Microeconomic Evidence from Borsa Istanbul.

[img]
Preview
PDF
MPRA_paper_52874.pdf

Download (798kB) | Preview

Abstract

This paper examines the impact of international soccer matches on the Turkish stock market using firm level and sorted portfolio data, i.e. microeconomic evidence. Applying the Edmans et al. (2007) estimation method, we find a significant negative loss effect. However, once using panel data analysis and modeling spatial and temporal effects explicitly, we not only reject the null hypothesis of the sports sentiment effect, but also find that the international soccer games virtually have no power explaining stock return variation. The same conclusions are made when replacing win/loss dummies with unexpected win (loss) variable and sorting portfolio returns by market capitalization, past returns and volatility. Although we found mild evidence that sports events could affect the variance of sorted portfolio returns, there is very limited micro-evidence to support the 'overreaction' hypothesis of individual investors using Borsa Istanbul data.

UB_LMU-Logo
MPRA is a RePEc service hosted by
the Munich University Library in Germany.