Event Clustering and Abnormal Returns: Reassessing the Informational Value of Bets
AbstractWe analyse the links between soccer match results, bets and stock returns of all listed European soccer teams. Using an event study approach, we measure abnormal returns following wins, ties and losses. Wins are associated with positive abnormal returns, and ties and losses with negative abnormal returns. Additionally, we analyse the role of bets in shaping market reactions to unexpected results, which we find to be non-significant. We propose an alternative econometric approach, using seemingly unrelated regression models, to take into account the problem of overlapping events. While our results concerning match results are confirmed, abnormal returns following unexpected results are found to be statistically significant and to magnify the positive (negative) effects of wins (losses).
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Bibliographic InfoPaper provided by Dipartimento Scienze Economiche, Universita' di Bologna in its series Working Papers with number wp817.
Date of creation: Mar 2012
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Other versions of this item:
- Massimiliano Castellani & Pierpaolo Pattitoni & Roberto Patuelli, 2011. "Abnormal Returns of Soccer Teams and Event Clustering: Reassessing the Informational Value of Bets," Working Paper Series 26_11, The Rimini Centre for Economic Analysis, revised Dec 2012.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies
- L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Recreation; Tourism
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
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