Reexamining Sports-Sentiment Hypothesis

Microeconomic Evidences from Borsa Istanbul

Ka Wai Terence Fung, Ender Demir, Chi Keung Marco Lau, Kwok Ho Chan

Research output: Contribution to journalArticle

5 Citations (Scopus)

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.
Original languageEnglish
Pages (from-to)337-355
Number of pages19
JournalJournal of International Financial Markets, Institutions and Money
Volume34
Early online date5 Dec 2014
DOIs
Publication statusPublished - Jan 2015
Externally publishedYes

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Sentiment
Microeconomics
Market capitalization
Overreaction
Sporting events
Stock return volatility
Stock market
Soccer
Sorting
Data modeling
Individual investors
Panel data analysis

Cite this

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title = "Reexamining Sports-Sentiment Hypothesis: Microeconomic Evidences from Borsa Istanbul",
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.",
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Reexamining Sports-Sentiment Hypothesis : Microeconomic Evidences from Borsa Istanbul. / Fung, Ka Wai Terence; Demir, Ender; Lau, Chi Keung Marco; Chan, Kwok Ho.

In: Journal of International Financial Markets, Institutions and Money, Vol. 34, 01.2015, p. 337-355.

Research output: Contribution to journalArticle

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