Sporting Performances and the Volatility of Listed Football Clubs

Ramzi Benkraiem, Frédéric Le Roy () and Waël Louhichi ()
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Frédéric Le Roy: University Montpellier and Group Sup de Co Montpellier Business School
Waël Louhichi: University of Rennes I, IAE de Rennes and CREM

International Journal of Sport Finance, 2011, vol. 6, issue 4, 283-297

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 autoregressive conditional heteroskedasticity (ARCH) models and relates to a sample of football clubs listed on the Alternative Investment Market (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.

Keywords: stock market valuation; football; sporting results; mixture of distribution hypothesis; EGARCH; conditional volatility (search for similar items in EconPapers)
JEL-codes: L83 (search for similar items in EconPapers)
Date: 2011
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Working Paper: Sporting performances and the volatility of listed football clubs (2011)
Working Paper: Sporting performances and the volatility of listed football clubs (2011)
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International Journal of Sport Finance is currently edited by Arne Feddersen, Babatunde Buraimo, Joachim Prinz and Jane Ruseski

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