The Football Performance Effect on Stock Returns – An Event Study of Publicly Listed Football Clubs
Master thesis
Submitted version
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https://hdl.handle.net/11250/2824298Utgivelsesdato
2020Metadata
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Sammendrag
We study the relationship between sporting performance and abnormal returns in football
stocks. Based on a sample of 2,146 matches from nine European football clubs during 2014
through 2018, we find a positive stock market response after wins and a negative response
after draws and losses. Using betting odds to measure market expectations, we find that
abnormal returns are more precisely explained by the degree of expected performance.
Losing in the European tournaments results in an even more negative abnormal return, and
positive abnormal returns are only realized after highly unexpected outcomes. We also find
evidence of the home advantage, even when taking betting odds into account.
Furthermore, our results indicate that turnarounds in performance yield greater abnormal
returns. This means that a more positive stock market response follows when performing
above expectations after underperforming in the previous match, and vice versa. Positive
abnormal returns are also related to consecutive wins, while consecutive losses result in
negative abnormal returns, though weaker than after turnarounds in performance. Additionally,
the size of the abnormal returns seems to be time-dependent and increasing throughout the
season.