To what extent can investor sentiment and match-related factors of publicly quoted European football clubs induce abnormal returns on their stock price?
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- Abstract
- The aim of this study is to identify the match-related factors that generate abnormal returns for stocks of publicly traded football clubs (Juventus, Lazio, AS Roma, Borussia Dortmund and Benfica), and assess the extent to which these factors abnormally impact the football stock market. By using the three-factors Fama-French model and linear regression models on a dataset of nearly 3000 matches between 2010 and 2024, the research findings show that match results (win, draw, or loss), location (home or away), goal difference (high, low, or null), and unexpected results are factors that abnormally influence the stocks of the clubs included in this study's sample. On the other hand, this study fails to prove that the competition the team is playing in significantly influences stock prices. Overall, this paper confirms the past results drawn from peers through the lenses of new regression models. Therefore, this study contributes to the existing literature by providing a different perspective and reinforcing the findings of prior research.