New Season New Hopes: Off-Season Optimism

Abstract

While literature on the relation between on-field sports performance and stock returns is ample, there is very limited evidence on off-season stage. Constituting around 3 months, off-seasons do not only occupy a significant part of the year but also represent totally different characteristics than on-seasons. They lack the periodic, unambiguous news events in on-seasons (match results), instead they are associated with highly uncertain transfer news and rumors. We show that this distinction has several impacts on the stock market performances of soccer clubs. Most notably, off-seasons generate substantially higher (excess) returns. After controlling for other variables, the estimated effect of off-season periods is as high as 38.75%, annually. In line with several seminal studies, we link this fact to increased optimism and betting behavior through uncertain periods; and periods prior to the start of a new calendar (in our case, new season). For all of the examined 7 clubs (3 from Italy and 4 from Turkey), mean excess returns over the market are positive (negative) in off-seasons (on-seasons). On-seasons are associated with increased trading activity due to more frequent news. Stocks of Italian clubs are evidently more volatile through off-seasons while volatility results for the stocks of Turkish clubs are not consistent.

The Seasonal Effect on the Chinese Gold Market Using an Empirical Analysis of the Shanghai Gold Exchange

“…The seasonal effects are reported in other asset markets, using sorts and cross-sectional regressions, Long et al (2020) find a significant day-of-the-week effect on 151 cryptocurrencies for the years 2016 to 2019. On the stock market performances of soccer clubs, Ersan and Demir (2017) show that there is a strong off-season effect, in fact, during these periods, stocks of soccer clubs generate substantially higher returns.…”