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Sporting performances and the volatility of listed football clubs

Author

Listed:
  • Ramzi Benkraiem

    (UMR CNRS 8179 - Université de Lille, Sciences et Technologies - CNRS - Centre National de la Recherche Scientifique)

  • Frédéric Le Roy
  • Waël Louhichi

    (CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique)

Abstract

This study investigates the effect of sporting performances on the volatility of listed football clubs. The theoretical background is based on the importance of intangible assets in the football industry and the difficulty in evaluating them. The empirical analysis is based on the family of ARCH models and relates to a sample of football clubs listed on the AIM and included in the Dow-Jones STOXX Football index. The findings show that sporting performances have a significant impact on the volatility of listed football clubs. The magnitude of the market reaction depends on the result nature (defeat, draw or win) and the match venue (home or away). This study fills a gap in the empirical literature by providing a level of analysis unmatched by previous research. Thus, it should be of interest to academics as well as investors in better understanding and evaluating the volatility movements of listed football clubs.

Suggested Citation

  • Ramzi Benkraiem & Frédéric Le Roy & Waël Louhichi, 2011. "Sporting performances and the volatility of listed football clubs," Post-Print halshs-00657360, HAL.
    • Handle: RePEc:hal:journl:halshs-00657360
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    Cited by:

    1. Robert Ślepaczuk & Igor Wabik, 2020. "The impact of the results of football matches on the stock prices of soccer clubs," Working Papers 2020-35, Faculty of Economic Sciences, University of Warsaw.
    2. David Alaminos & Ignacio Esteban & M. Belén Salas, 2023. "Neural networks for estimating Macro Asset Pricing model in football clubs," Intelligent Systems in Accounting, Finance and Management, John Wiley & Sons, Ltd., vol. 30(2), pages 57-75, April.

    More about this item

    Keywords

    Stock market valuation; football; sporting results; mixture of distribution hypothesis; EGARCH; conditional volatility;
    All these keywords.

    JEL classification:

    • L83 - Industrial Organization - - Industry Studies: Services - - - Sports; Gambling; Restaurants; Recreation; Tourism

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