Sentiment, fan engagement, and sponsor stock performance: Evidence from alternative data

This study examines whether attention-driven sentiment extracted from sports-related news is incorporated into sponsor stock returns through standard asset pricing mechanisms. Leveraging alternative data sources—including FinBERT-based news sentiment, Google Trends indices, and jersey sales rankings as proxies for public attention and fan engagement—we analyze daily and weekly sponsor stock returns within a panel framework. The empirical results reveal pronounced horizon dependence. At the daily frequency, sentiment-related variables exhibit limited explanatory power, consistent with short-term noise and incomplete contemporaneous price adjustment. At the weekly frequency, however, sentiment and attention measures display significant lagged effects, indicating gradual information assimilation over time. Moreover, sentiment pricing is heterogeneous across firms, as the sensitivity to attention-driven and fan engagement signals varies systematically with market-size constraints and return horizons, consistent with differences in information environments and limits to arbitrage. Overall, the findings support attention-based asset pricing frameworks in which non-financial information driven by fan engagement is incorporated into sponsor stock prices with delay, and demonstrate that alternative data can enhance the understanding of return dynamics, particularly in settings characterized by constrained information processing.