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Event Clustering and Abnormal Returns: Reassessing the Informational Value of Bets

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  • M. Castellani
  • P. Pattitoni
  • R. Patuelli

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).

Suggested Citation

  • 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.
  • Handle: RePEc:bol:bodewp:wp817
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    References listed on IDEAS

    as
    1. De Long, J Bradford & Andrei Shleifer & Lawrence H. Summers & Robert J. Waldmann, 1990. "Noise Trader Risk in Financial Markets," Journal of Political Economy, University of Chicago Press, vol. 98(4), pages 703-738, August.
    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, June.
    Full references (including those not matched with items on IDEAS)

    More about this item

    JEL classification:

    • 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

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