Is There an Olympic Gold Medal Rush in the Stock Market?

Abstract

Investor sentiment and attention are often linked to the same non-economic events making it difficult to understand why and how asset prices are affected. We disentangle these two potential drivers of investment behaviour by analysing a new dataset of medals for major participating countries and sponsor firms over four Summer Olympic Games. Our results show that trading volume and volatility are substantially reduced following Olympic success although returns appear to be largely unaffected. Analysis of data from on-line search volumes and surveys measuring investor sentiment, also suggest that the market impact of the Olympics is linked to changes in attention.