Local sports sentiment and returns of locally headquartered stocks: A firm-level analysis

The Effect of Investor Sentiment on Stock Returns: Insight from Emerging Asian Markets

“…A large number of these studies, however, take an indirect approach. The likely effect of sentiment on returns is deduced from the investigation of other variables (Kurov, 2010;Kaplanski & Levy, 2012;Kaustia & Knupfer, 2012) or specific events such as natural disasters (Kaplanski & Levy, 2010;Shan & Gong, 2012), manmade disasters (Drakos, 2010), sporting events (Chang, Chen, Chou & Lin, 2012;Curatola, Donadelli, Kizys & Riedel, 2016), and religious festivities (Białkowski, Etebari & Wisniewski, 2012). The sentiment, inferred using the aforementioned methods, may not represent investor sentiment in its entirely or may misrepresent sentiment.…”

Stock returns and investors' mood: Good day sunshine or spurious correlation?

“…The starred value indicates the case where t-statistic is less than these critical values. values and sample sizes are obtained from Saunders (1993), Trombley (1997), Cao and Wei (2005), Goetzsmann and Zhu (2005), Chang et al (2008), Akhtari (2011), andLu andChou (2012). In Cao and Wei (2005), the sample sizes of several regressions are approximated based on the information provided in their paper.…”

“…The literature has proliferated over the years in the publication of studies examining the effects of investors' moods derived from disparate sources such as: daylight saving (Kamstra et al 2000), seasonal depression (Kamstra et al, 2003), sport events (Edmans et al, 2007;Kaplanski and Levi, 2010;Chang et al, 2012), lunar phases (Yuan et al, 2006;Keef and Khaled, 2012), pollution (Lepori, 2016), and the Ramadan (Bialkowski et al, 2012). Most of these studies report a statistically significant effect of investors' mood on the stock market, and their findings are presented as direct evidence for the anomalies against market efficiency.…”

Predictable Sports Sentiment and Local Trading

“…Recognizing this, Brown and Hartzell () and Chang et al. () examine the National Basketball Association's (NBA's) Boston Celtics and the National Football League (NFL), respectively. Brown and Hartzell () find that regular season and playoff games involving the Boston Celtics have a significant impact on the shares of the publicly traded Boston Celtics Limited Partnership.…”

“…Chang et al. () address the impact of regular season and tournament game outcomes for the NFL and find that relative to team wins, team losses lead to significantly lower next day stock returns for locally headquartered firms. This impact is exacerbated for surprising and critical losses, and for stocks deemed more susceptible to shifts in investor sentiment.…”