Sporting performances and the volatility of listed football clubs

Ramzi Benkraiem, Frédéric Le Roy () and Waël Louhichi
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Waël Louhichi: CREM - Centre de recherche en économie et management - UNICAEN - Université de Caen Normandie - NU - Normandie Université - UR - Université de Rennes - CNRS - Centre National de la Recherche Scientifique

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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 ARCH models and relates to a sample of football clubs listed on the 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)
Date: 2011
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Citations: View citations in EconPapers (2)

Published in International Journal of Sport Finance, 2011, 6 (4), pp.283-297

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Related works:
Journal Article: 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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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00657360

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