Reexamining sports-sentiment hypothesis: Microeconomicevidences from Borsa Istanbul

Ka Wai Fung; Ender Demir; Chi Keung Lau; Kwok Ho Chan

doi:10.1016/j.intfin.2014.11.015

Reexamining sports-sentiment hypothesis: Microeconomicevidences from Borsa Istanbul

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

Business and Management

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10 Citations (Scopus)

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Abstract

This paper examines the impact of international soccer matches on the Turkish stock mar-ket 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.

Original language	English
Pages (from-to)	337-355
Journal	Journal of International Financial Markets Institutions & Money
Volume	34
DOIs	https://doi.org/10.1016/j.intfin.2014.11.015
Publication status	Published - 9 Jan 2015

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title = "Reexamining sports-sentiment hypothesis: Microeconomicevidences from Borsa Istanbul",

abstract = "This paper examines the impact of international soccer matches on the Turkish stock mar-ket 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 {\textquoteleft}overreaction{\textquoteright} 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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AU - Fung, Ka Wai

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AU - Lau, Chi Keung

AU - Chan, Kwok Ho

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Y1 - 2015/1/9

N2 - This paper examines the impact of international soccer matches on the Turkish stock mar-ket 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.

AB - This paper examines the impact of international soccer matches on the Turkish stock mar-ket 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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KW - event study

KW - market efficiency

KW - neuroeconomics

KW - sports economics

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DO - 10.1016/j.intfin.2014.11.015

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SN - 1042-4431

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Reexamining sports-sentiment hypothesis: Microeconomicevidences from Borsa Istanbul

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