It is well known that investor sentiment affects aggregate stock returns. We investigate the economic link between sport sentiment and US sectoral stock returns. We find that sport sentiment affects only the financial sector. We argue that this result might be explained by the high liquidity that makes the financial sector more attractive to foreign investors who in turn are more prone to sport sentiment than local investors in the US. Accordingly, an arbitrageur can build a profitable trading strategy by selling short the financial sector during the FIFA World cup periods and buying it back afterwards.
Curatola, G., Donadelli, M., Kizys, R., Riedel, M. (2016). Investor Sentiment and Sectoral Stock Returns: Evidence from World Cup Games. FINANCE RESEARCH LETTERS, 17, 267-274 [10.1016/j.frl.2016.03.023].
Investor Sentiment and Sectoral Stock Returns: Evidence from World Cup Games
Curatola, Giuliano
;
2016-01-01
Abstract
It is well known that investor sentiment affects aggregate stock returns. We investigate the economic link between sport sentiment and US sectoral stock returns. We find that sport sentiment affects only the financial sector. We argue that this result might be explained by the high liquidity that makes the financial sector more attractive to foreign investors who in turn are more prone to sport sentiment than local investors in the US. Accordingly, an arbitrageur can build a profitable trading strategy by selling short the financial sector during the FIFA World cup periods and buying it back afterwards.File | Dimensione | Formato | |
---|---|---|---|
FRL_SectoralSentiment.pdf
non disponibili
Tipologia:
PDF editoriale
Licenza:
NON PUBBLICO - Accesso privato/ristretto
Dimensione
620.99 kB
Formato
Adobe PDF
|
620.99 kB | Adobe PDF | Visualizza/Apri Richiedi una copia |
I documenti in IRIS sono protetti da copyright e tutti i diritti sono riservati, salvo diversa indicazione.
https://hdl.handle.net/11365/1068593