The Impact of Expectations, Match Importance and Results in the Stock Prices of European Football Teams

Pedro Godinho () and Pedro Cerqueira
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Pedro Godinho: Faculty of Economics, University of Coimbra and GEMF, Portugal

No 2014-09, GEMF Working Papers from GEMF, Faculty of Economics, University of Coimbra

Abstract: In this study we analyse the link between stock returns and results in national league matches for 13 clubs of six different European countries. We assume that the stock prices should only respond to the unexpected component of match results, and we use betting odds to separate the expected component of the results from the unexpected one. We consider both the unweighted results (each match having the same weight in the model) and the results weighted by a new measure of match importance that we develop. We conclude that, when this measure is used to weight the unexpected component of the results, there is a significant link between the results and stock performance for 12 out of the 13 considered clubs. So, this link can be considered to be quite consistent. We also conclude that using this measure of match importance to weight the unexpected component of the match outcomes leads to an improvement in the results we achieve.

Keywords: Stock returns; Football results; Football teams; Information in stock markets; MGARCH. (search for similar items in EconPapers)
JEL-codes: C30 G14 (search for similar items in EconPapers)
Pages: 43 pages
Date: 2014-04
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Related works:
Journal Article: The Impact of Expectations, Match Importance, and Results in the Stock Prices of European Football Teams (2018)
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