REVIEW OF FINANCE·VOL.20, ISSUE. 3·MAY 2016

當你的足球隊即将輸掉比賽時，股票價格也會受到傷害

作者： Michael Ehrmann (Bank of Canada), David-Jan Jansen(De Nederlandsche Bank)

摘要：主要體育賽事的最終結果會通過改變投資者情緒來影響第二天的股票收益。通過對2010年世界杯足球比賽期間的日内數據進行研究，我們測試情緒相關的定價效應是否随着事件的發展而實現。我們使用一個跨國上市公司的數據，這允許我們直接識别股價的低估。在比賽期間，該公司的股票價格在輸掉比賽的國家被低估多達7個基準點。随着某國被淘汰的可能性增加，股票價格在該國被低估的概率随之增加。

It Hurts (Stock Prices) When Your Team is about to Lose a Soccer Match

Michael Ehrmann (Bank of Canada), David-Jan Jansen(De Nederlandsche Bank)

ABSTRACT

The end result of major sporting events has been shown to affect next day stock returns through shifts in investor mood. By studying intraday data during the soccer matches that led to the elimination of France and Italy from the 2010 FIFA World Cup, we test whether mood-related pricing effects already materialize as events unfold. We use data for a cross-listed firm, which allows for a straightforward identification of underpricing. During the matches, the firm’s stock is underpriced by up to 7 basis points in the country that eventually loses. The probability of underpricing increases as elimination becomes more likely.

原文鍊接：

http://rof.oxfordjournals.org/content/20/3/1215.abstract

翻譯：陳然