Abnormal Returns of Soccer Teams: Reassessing the Informational Value of Betting Odds
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).
|Date of creation:||May 2011|
|Date of revision:||Aug 2013|
|Publication status:||Forthcoming in the Journal of Sports Economics|
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"Noise Trader Risk in Financial Markets,"
3725552, Harvard University Department of Economics.
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