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Abnormal Returns of Soccer Teams: Reassessing the Informational Value of Betting Odds

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  • Massimiliano Castellani

    ()
    (Department of Economics, University of Bologna, Italy; The Rimini Centre for Economic Analysis (RCEA), Italy)

  • Pierpaolo Pattitoni

    ()
    (Department of Management, University of Bologna, Italy; The Rimini Centre for Economic Analysis (RCEA), Italy)

  • Roberto Patuelli

    ()
    (Department of Economics, University of Bologna, Italy; The Rimini Centre for Economic Analysis (RCEA), Rimini, Italy)

Abstract

We 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 Info

Paper provided by The Rimini Centre for Economic Analysis in its series Working Paper Series with number 26_11.

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Date of creation: May 2011
Date of revision: Aug 2013
Publication status: Forthcoming in the Journal of Sports Economics
Handle: RePEc:rim:rimwps:26_11

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Keywords: Soccer and Bets; Information and Market Efficiency; Event Studies; Event Clustering; Seemingly Unrelated Regression Equation (SUR);

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  1. De Long, J. Bradford & Shleifer, Andrei & Summers, Lawrence H. & Waldmann, Robert J., 1990. "Noise Trader Risk in Financial Markets," Scholarly Articles 3725552, Harvard University Department of Economics.
  2. 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, vol. 10(12), pages 783-785.
  3. Gennaro Bernile & Evgeny Lyandres, 2011. "Understanding Investor Sentiment: The Case of Soccer," Financial Management, Financial Management Association International, vol. 40(2), pages 357-380, 06.
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