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A rational asymmetric reaction to news: evidence from English football clubs

Jason P. Berkowitz () and Craig Depken
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Jason P. Berkowitz: St. John’s University

Review of Quantitative Finance and Accounting, 2018, vol. 51, issue 2, 347-374

Abstract: Abstract Using a large dataset of matches played between two publicly traded English football (soccer) clubs, we test for and confirm an asymmetric market reaction to winning and losing and that the stock market respond stronger and slower to bad news (losing) than good news (winning). In contrast to previous studies, we show that financial fundamentals help explain this asymmetry. In particular, club short-term financial performance is negatively impacted by losing but not impacted by winning. Furthermore, losing is a significantly stronger predictor of future match outcomes than winning.

Keywords: English football (soccer); Good and bad news; Asymmetric reaction (search for similar items in EconPapers)
JEL-codes: G14 Z23 (search for similar items in EconPapers)
Date: 2018
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DOI: 10.1007/s11156-017-0673-6

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