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The news model of asset price determination - An empirical examination of the Danish football club Brøndby IF

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Author Info

  • Jørgensen, Casper W.

    (University of Southern Denmark)

  • Moritzen, Mark R.

    (University of Southern Denmark)

  • Stadtmann, Georg

    ()
    (Department of Business and Economics)

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    Abstract

    According to the news model of asset price determination, only the unexpected component of an information should drive the stock price. We use the Danish publicly listed football club Brøndby IF to analyze how match outcome impacts the stock price. To disentangle gross news from net news, betting odd information is used to control for the expected match outcome.

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    File URL: http://static.sdu.dk/mediafiles//3/4/0/%7B340FC63D-A06A-4868-92B0-605A54867818%7Ddpbe3_2012.pdf
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    Bibliographic Info

    Paper provided by Department of Business and Economics, University of Southern Denmark in its series Discussion Papers of Business and Economics with number 3/2012.

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    Length: 8 pages
    Date of creation: 05 Jan 2012
    Date of revision:
    Handle: RePEc:hhs:sdueko:2012_003

    Contact details of provider:
    Postal: Department of Business and Economics, University of Southern Denmark, Campusvej 55, DK-5230 Odense M, Denmark
    Phone: 65 50 32 33
    Fax: 65 50 32 37
    Email:
    Web page: http://www.sdu.dk/ivoe
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    Related research

    Keywords: News model; football industry; betting odds; stock market; market efficiency; event study;

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    1. Dobson,Stephen & Goddard,John, 2011. "The Economics of Football," Cambridge Books, Cambridge University Press, Cambridge University Press, number 9780521517140.
    2. Brown, Gregory W. & Hartzell, Jay C., 2001. "Market reaction to public information: The atypical case of the Boston Celtics," Journal of Financial Economics, Elsevier, Elsevier, vol. 60(2-3), pages 333-370, May.
    3. Fama, Eugene F, 1970. "Efficient Capital Markets: A Review of Theory and Empirical Work," Journal of Finance, American Finance Association, American Finance Association, vol. 25(2), pages 383-417, May.
    4. J. K. Ashton & B. Gerrard & R. Hudson, 2003. "Economic impact of national sporting success: evidence from the London stock exchange," Applied Economics Letters, Taylor & Francis Journals, Taylor & Francis Journals, vol. 10(12), pages 783-785.
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