A symmetric Super Bowl stock market predictor model

Jeffery Born () and Yousra Acherqui

Financial Markets and Portfolio Management, 2015, vol. 29, issue 2, 115-124

Abstract: Krueger and Kennedy (J Fin 45:691–697, 1990 ) were the first to empirically document the remarkable stock market predictive power of the winner of the Super Bowl. The original model had investors go “long” in the market when the Super Bowl was won by a team from the old NFL, but park their money in T-Bills when the Super Bowl was won by a team from the old AFL—a non-symmetric trading rule. We create a symmetric rule (go “long” in the market when the old NFL wins; go “short” when they lose) and compare its efficacy to the original formulation. The symmetric rule outperforms the original KK specification in the period covered by their study (1967–1988), but performs worse than the original specification (and the naïve buy-and-hold strategy) since 1988. Copyright Swiss Society for Financial Market Research 2015

Keywords: Super Bowl; Stock market; Prediction model; Symmetric; G140 information; Market efficiency (search for similar items in EconPapers)
Date: 2015
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DOI: 10.1007/s11408-015-0247-3

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