Football and Stock Market: An analysis of the volatility around the sporting results

Football et Bourse: Analyse de la volatilité autour des annonces de résultats

Ramzi Benkraiem, Frédéric Leroy and Waël Louhichi
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Frédéric Leroy: CEROM - Centre d'Etudes et de Recherche sur les Organisations et le Management - Groupe Sup de Co Montpellier (GSCM) - Montpellier Business School
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 relationship between Football and stock market by analyzing the volatility around the sporting result announces. 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 stock market valuation of football clubs. The magnitude of the market reaction depends on the nature of the result.

Keywords: Stock market valuation; Volatility; Valorisation boursière; football; compétition; volatilité; EGARCH (search for similar items in EconPapers)
Date: 2012
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Published in Recherches en sciences de gestion, 2012, 91, pp.85-106. ⟨10.3917/resg.091.0083⟩

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Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:halshs-00765924

DOI: 10.3917/resg.091.0083

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