Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul

doi:10.1016/j.intfin.2014.11.015

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Title	Reexamining sports-sentiment hypothesis: Microeconomic evidences from Borsa Istanbul
Creator	Fung，Ka Wai Terence 1; Demir，Ender 2; Lau，Chi Keung Marco 3; Chan，Kwok Ho 4
Date Issued	2015
Source Publication	Journal of International Financial Markets, Institutions and Money
ISSN	1042-4431
Volume	34 Pages:337-355
Abstract	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.
Keyword	Event study Individual-investor sentiment Market efficiency Neuroeconomics Sports economics
DOI	10.1016/j.intfin.2014.11.015
URL	View source
Language	英语English
Scopus ID	2-s2.0-84920190561
Citation statistics	Cited Times:12[WOS] [WOS Record] [Related Records in WOS]
Document Type	Journal article
Identifier	http://repository.uic.edu.cn/handle/39GCC9TT/6478
Collection	Beijing Normal-Hong Kong Baptist University
Corresponding Author	Fung，Ka Wai Terence
Affiliation	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
First Author Affilication	Beijing Normal-Hong Kong Baptist University
Corresponding Author Affilication	Beijing Normal-Hong Kong Baptist University
Recommended Citation 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.

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