Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul

doi:10.1016/j.intfin.2014.11.015

科研成果详情

题名	Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul
作者	Fung，Ka Wai Terence 1; Demir，Ender 2; Lau，Chi Keung Marco 3; Chan，Kwok Ho 4
发表日期	2015
发表期刊	Journal of International Financial Markets, Institutions and Money
ISSN/eISSN	1042-4431
卷号	34 页码:337-355
摘要	This paper examines the impact of international soccer matches on the Turkish stock market using firm-level and sorted-portfolio data. Applying Edmans et al. (2007) estimation method, we found a significant negative loss effect. However, once using panel data analysis as well as modeling spatial and temporal effects explicitly, the sports-sentiment effect disappeared. The same conclusions could be made by replacing win (loss) dummies with unexpected win (loss) variables, removing Monday matches, dropping sports-related firms, and sorting portfolio returns by market capitalization and past returns. Hence, there is very limited micro-evidence to support the 'overreaction' hypothesis of individual investors using Borsa Istanbul data. However, we found evidence that sporting events have a larger impact on stock return volatility for firms with smaller market capitalization and lower past returns.
关键词	Event study Individual-investor sentiment Market efficiency Neuroeconomics Sports economics
DOI	10.1016/j.intfin.2014.11.015
URL	查看来源
语种	英语English
Scopus入藏号	2-s2.0-84920190561
引用统计	被引频次：12[WOS] [WOS记录] [WOS相关记录]
文献类型	期刊论文
条目标识符	https://repository.uic.edu.cn/handle/39GCC9TT/6478
专题	北师香港浸会大学
通讯作者	Fung，Ka Wai Terence
作者单位	1.Division of Business and Management, Beijing Normal University, Hong Kong Baptist University - United International College,Tangjiawan, Zhuhai, Guangdong Province,B414, 28 Jinfeng Road,519085,China 2.Faculty of Tourism, Istanbul Medeniyet University,Turkey 3.Newcastle Business School, Northumbria University,United Kingdom 4.Beijing Normal University, Hong Kong Baptist University - United International College,China
第一作者单位	北师香港浸会大学
通讯作者单位	北师香港浸会大学
推荐引用方式 GB/T 7714	Fung，Ka Wai Terence,Demir，Ender,Lau，Chi Keung Marcoet al. Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul[J]. Journal of International Financial Markets, Institutions and Money, 2015, 34: 337-355.
APA	Fung，Ka Wai Terence, Demir，Ender, Lau，Chi Keung Marco, & Chan，Kwok Ho. (2015). Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul. Journal of International Financial Markets, Institutions and Money, 34, 337-355.
MLA	Fung，Ka Wai Terence,et al."Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul". Journal of International Financial Markets, Institutions and Money 34(2015): 337-355.