3-Sports Sentiment and Stock Returns英语教案.pdf

THE JOURNAL OF FINANCE • VOL. LXII, NO. 4 • AUGUST 2007 Sports Sentiment and Stock Returns ∗ ´ ALEX EDMANS, DIEGO GARCIA, and ØYVIND NORLI ABSTRACT This paper investigates the stock market reaction to sudden changes in investor mood. Motivated by psychological evidence of a strong link between soccer outcomes and mood, we use international soccer results as our primary mood variable. We find a significant market decline after soccer losses. For example, a loss in the World Cup elimination stage leads to a next-day abnormal stock return of −49 basis points. This loss effect is stronger in small stocks and in more important games, and is robust to methodological changes. We also document a loss effect after international cricket, rugby, and basketball games. THIS PAPER EMPLOYS A NOVEL MOOD VARIABLE, international soccer results, to inves- tigate the effect of investor sentiment on asset prices. Using a cross-section of 39 countries, we find that losses in soccer matches have an economically and statistically significant negative effect on the losing country’s stock market. For example, elimination from a major international soccer tournament is as- sociated with a next-day return on the national stock market index that is 38 basis points lower than average. We also document a loss effect after interna- tional cricket, rugby, and basketball games. On average, the effect is smaller in magnitude for these other sports than for soccer, but is still economically and statistically significant. We find no evidence of a corresponding effect after wins for any of the sports that we study. Controlling for the pre-game expected out- come, we are able to reject the hypothesis th