A rational asymmetric reaction to news: evidence from English football clubs

被引：11
|
作者：
Berkowitz J.P. [1 ]
Depken C.A., II [2 ]
机构：
[1] Department of Economics and Finance, Tobin College of Business, St. John’s University, Queens, 11439, NY
[2] Department of Economics, Belk College of Business, University of North Carolina-Charlotte, Charlotte, 28223, NC
来源：
Review of Quantitative Finance and Accounting | 2018年 / 51卷 / 2期
关键词：
Asymmetric reaction; English football (soccer); Good and bad news;
D O I：
10.1007/s11156-017-0673-6
中图分类号：
学科分类号：
摘要：
Using a large dataset of matches played between two publicly traded English football (soccer) clubs, we test for and confirm an asymmetric market reaction to winning and losing and that the stock market respond stronger and slower to bad news (losing) than good news (winning). In contrast to previous studies, we show that financial fundamentals help explain this asymmetry. In particular, club short-term financial performance is negatively impacted by losing but not impacted by winning. Furthermore, losing is a significantly stronger predictor of future match outcomes than winning. © 2017, Springer Science+Business Media, LLC.
引用
收藏
页码：347 / 374
页数：27
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