Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul

Ka Wai Terence Fung, Ender Demir, Chi Keung Lau and Kwok Ho Chan

Journal of International Financial Markets, Institutions and Money, 2015, vol. 34, issue C, 337-355

Abstract: This paper examines the impact of international soccer matches on the Turkish stock market using firm-level and sorted-portfolio data. Applying Edmans et al. (2007) estimation method, we found a significant negative loss effect. However, once using panel data analysis as well as modeling spatial and temporal effects explicitly, the sports-sentiment effect disappeared. The same conclusions could be made by replacing win (loss) dummies with unexpected win (loss) variables, removing Monday matches, dropping sports-related firms, and sorting portfolio returns by market capitalization and past returns. Hence, there is very limited micro-evidence to support the ‘overreaction’ hypothesis of individual investors using Borsa Istanbul data. However, we found evidence that sporting events have a larger impact on stock return volatility for firms with smaller market capitalization and lower past returns.

Keywords: Individual-investor sentiment; Event study; Market efficiency; Neuroeconomics; Sports economics (search for similar items in EconPapers)
JEL-codes: D87 G14 L83 (search for similar items in EconPapers)
Date: 2015
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (10)

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Persistent link: https://EconPapers.repec.org/RePEc:eee:intfin:v:34:y:2015:i:c:p:337-355

DOI: 10.1016/j.intfin.2014.11.015

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