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Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul

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  • Fung, Ka Wai Terence
  • Demir, Ender
  • Lau, Chi Keung Marco
  • Chan, Kwok Ho

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.

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  • Fung, Ka Wai Terence & Demir, Ender & Lau, Chi Keung Marco & Chan, Kwok Ho, 2015. "Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul," Journal of International Financial Markets, Institutions and Money, Elsevier, vol. 34(C), pages 337-355.
    • Handle: RePEc:eee:intfin:v:34:y:2015:i:c:p:337-355
    DOI: 10.1016/j.intfin.2014.11.015
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    More about this item

    Keywords

    Individual-investor sentiment; Event study; Market efficiency; Neuroeconomics; Sports economics;
    All these keywords.

    JEL classification:

    • D87 - Microeconomics - - Information, Knowledge, and Uncertainty - - - Neuroeconomics
    • G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
    • L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism

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