The impact of the results of football matches on the stock prices of soccer clubs
Robert Ślepaczuk and
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Igor Wabik: Faculty of Economic Sciences, University of Warsaw
No 2020-35, Working Papers from Faculty of Economic Sciences, University of Warsaw
The aim of this paper is to study the relationship between sport results and stock prices of European football clubs. To show that connection, we use two econometric models. Firstly, we conduct an event study analysis around the dates of football games to look for existence of abnormal returns. Secondly, we use OLS regression to test what effect the unexpected part of the result has. Based on 2239 observations of football matches results played between 01/08/2016 and 02/03/2020, we find significant relationship between sport results and financial performance. Significant negative abnormal returns are observed around defeats and draws, while for wins the impact is unclear. Using second model, we find positive values for coefficients related to unexpected number of points, which can be an additional evidence of a link between football results and stock prices. Finally, we see the potential for systematic trading strategy on soccer stocks based on the presented results. Such algo strategy with market neutral characteristic should beat the market regardless of market conditions.
Keywords: soccer stock returns; event study analysis; algorithmic investment strategies; market neutral strategy; sports efficiency (search for similar items in EconPapers)
JEL-codes: C14 C4 C45 C53 C58 G13 (search for similar items in EconPapers)
Pages: 23 pages
New Economics Papers: this item is included in nep-cul and nep-spo
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https://www.wne.uw.edu.pl/index.php/download_file/5900/ First version, 2020 (application/pdf)
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Persistent link: https://EconPapers.repec.org/RePEc:war:wpaper:2020-35
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