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Sporting Performances and the Volatility of Listed Football Clubs

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Author Info

  • Ramzi Benkraiem

    ()
    (Institut d’Économie Scientifique et de Gestion (IESEG) School of Management)

  • Frédéric Le Roy

    ()
    (University Montpellier and Group Sup de Co Montpellier Business School)

  • Waël Louhichi

    ()
    (University of Rennes I, IAE de Rennes and CREM)

Abstract

This study investigates the effect of sporting performances on the volatility of listed football clubs. The theoretical background is based on the importance of intangible assets in the football industry and the difficulty in evaluating them. The empirical analysis is based on the family of autoregressive conditional heteroskedasticity (ARCH) models and relates to a sample of football clubs listed on the Alternative Investment Market (AIM) and included in the Dow Jones STOXX Football Index. The findings show that sporting performances have a significant impact on the volatility of listed football clubs. The magnitude of the market reaction depends on the result nature (defeat, draw, or win) and the match venue (home or away). This study fills a gap in the empirical literature by providing a level of analysis unmatched by previous research. Thus, it should be of interest to academics as well as investors in better understanding and evaluating the volatility movements of listed football clubs.

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Bibliographic Info

Article provided by Fitness Information Technology in its journal International Journal of Sport Finance.

Volume (Year): 6 (2011)
Issue (Month): 4 (November)
Pages: 283-297

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Handle: RePEc:jsf:intjsf:v:6:y:2011:i:4:p:283-297

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Related research

Keywords: stock market valuation; football; sporting results; mixture of distribution hypothesis; EGARCH; conditional volatility;

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