EconPapers    
Economics at your fingertips  
 

Sports Mood Index, institutional investors, and earnings announcement anomalies

Runze Wu

Journal of Behavioral and Experimental Finance, 2022, vol. 35, issue C

Abstract: I construct the Sports Mood Index (SMI) of 49 metropolitan areas in the U.S. and Canada based on the performance of Big 4 professional sports teams and build the firm-level SMI based on institutional investors’ holdings as a proxy for investors’ mood. In sports-induced bad mood settings, earnings announcement premium becomes higher because of increased uncertainty avoidance premium, and post-earnings-announcement drift (PEAD) becomes lower because of the reversal effect. A one-standard-deviation increase in the SMI leads to a 22 bps increase in earnings announcement premium and a 16 bps decrease in PEAD in the following week. Whereas sports-induced good mood has no significant impact on the trading behavior of institutional investors, sports-induced bad mood leads to inattention. Institutional investors with sports-induced bad mood underreact to standardized unexpected earnings when faced with both positive and negative news, as evidenced by lower abnormal trading volume around earnings announcement days.

Keywords: Sports Mood Index (SMI); Institutional investors; Uncertainty avoidance; Inattention; Earnings announcement premium; Post-earnings-announcement drift (PEAD) (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S2214635022000375

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:beexfi:v:35:y:2022:i:c:s2214635022000375

DOI: 10.1016/j.jbef.2022.100688

Access Statistics for this article

Journal of Behavioral and Experimental Finance is currently edited by Michael Dowling and Jürgen Huber

More articles in Journal of Behavioral and Experimental Finance from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

 
Page updated 2022-11-12
Handle: RePEc:eee:beexfi:v:35:y:2022:i:c:s2214635022000375