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It hurts (stock prices) when your team is about to lose a soccer match

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  • Michael Ehrmann
  • David-Jan Jansen

Abstract

The end result of major sporting events has been shown to affect next-day stock returns through shifts in investor mood. By studying the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we show that mood-related pricing effects can materialize as sporting events unfold. We do this by using intra-day stock prices for a firm cross-listed on the Paris and Milan stock exchange. This strategy allows for a straightforward identification of pricing effects. During the soccer matches, stock prices in the country that eventually loses are lower by up to seven basis points. The probability of underpricing increases as elimination from the tournament becomes more likely.

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Bibliographic Info

Paper provided by Netherlands Central Bank, Research Department in its series DNB Working Papers with number 412.

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Date of creation: Jan 2014
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Handle: RePEc:dnb:dnbwpp:412

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Keywords: investor mood; cross-listed firms; stock market efficiency; high-frequency data; soccer;

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  3. J. Bradford De Long & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, . "Noise Trader Risk in Financial Markets," J. Bradford De Long's Working Papers _124, University of California at Berkeley, Economics Department.
  4. Ehrmann, Michael & Jansen, David-Jan, 2012. "The pitch rather than the pit: investor inattention during FIFA world cup matches," Working Paper Series 1424, European Central Bank.
  5. Mark Kamstra & Lisa Kramer & Maurice Levi, 2002. "Winter blues: a SAD stock market cycle," Working Paper 2002-13, Federal Reserve Bank of Atlanta.
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  7. Kaplanski, Guy & Levy, Haim, 2010. "Exploitable Predictable Irrationality: The FIFA World Cup Effect on the U.S. Stock Market," Journal of Financial and Quantitative Analysis, Cambridge University Press, vol. 45(02), pages 535-553, April.
  8. Karen Croxson & J. James Reade, 2011. "Information and Efficiency: Goal Arrival in Soccer Betting," Discussion Papers 11-01, Department of Economics, University of Birmingham.
  9. Malcolm Baker & Jeffrey Wurgler, 2007. "Investor Sentiment in the Stock Market," NBER Working Papers 13189, National Bureau of Economic Research, Inc.
  10. Kamstra, M.J. & Kramer, L.A. & Levi, M.D., 1998. "Losing Sleep at the Market: The Daylight-Savings Anomaly," Working Papers dp98-04, CRABE, Department of Economics, Simon Fraser University.
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  12. De Bondt, Werner F M & Thaler, Richard, 1985. " Does the Stock Market Overreact?," Journal of Finance, American Finance Association, vol. 40(3), pages 793-805, July.
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