University of Pennsylvania ScholarlyCommons Finance Papers Wharton Faculty Research 2007 Sports Sentiment and Stock Returns Alex Edmans University of Pennsylvania Diego García Øyvind Norli Follow this and additional works at: https://repository.upenn.edu/fnce_papers Part of the Finance Commons, and the Finance and Financial Management Commons Recommended Citation Edmans, A., García, D., & Norli, Ø. (2007). Sports Sentiment and Stock Returns. The Journal of Finance, 62 (4), 1967-1998. http://dx.doi.org/10.1111/j.1540-6261.2007.01262.x This paper is posted at ScholarlyCommons. https://repository.upenn.edu/fnce_papers/273 For more information, please contact
[email protected]. Sports Sentiment and Stock Returns 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. Disciplines Finance | Finance and Financial Management This journal article is available at ScholarlyCommons: https://repository.upenn.edu/fnce_papers/273 Sports sentiment and stock returns∗ Alex Edmans Sloan School of Management at MIT Diego Garc´ıa Tuck School of Business at Dartmouth Øyvind Norli Norwegian School of Management December 2005 Abstract This paper investigates the stock market reaction to sudden changes in investor mood.