Abnormal Returns of Soccer Teams: Reassessing the Informational Value of Betting Odds
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 The Rimini Centre for Economic Analysis in its series Working Paper Series with number 26_11.
Date of creation: May 2011
Date of revision: Aug 2013
Publication status: Forthcoming in the Journal of Sports Economics
Soccer and Bets; Information and Market Efficiency; Event Studies; Event Clustering; Seemingly Unrelated Regression Equation (SUR);
Other versions of this item:
- M. Castellani & P. Pattitoni & R. Patuelli, 2012. "Event Clustering and Abnormal Returns: Reassessing the Informational Value of Bets," Working Papers wp817, Dipartimento Scienze Economiche, Universita' di Bologna.
- G14 - Financial Economics - - General Financial Markets - - - Information and Market Efficiency; Event Studies; Insider Trading
- L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism
- C30 - Mathematical and Quantitative Methods - - Multiple or Simultaneous Equation Models; Multiple Variables - - - General
This paper has been announced in the following NEP Reports:
- NEP-ALL-2011-06-11 (All new papers)
- NEP-EUR-2011-06-11 (Microeconomic European Issues)
- NEP-SPO-2011-06-11 (Sports & Economics)
Please report citation or reference errors to , or , if you are the registered author of the cited work, log in to your RePEc Author Service profile, click on "citations" and make appropriate adjustments.:
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For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: (Roberto Patuelli).
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