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On the existence of sports sentiment: the relation between football match results and stock index returns in Europe
16 references·0 citing·53 second hop
On the existence of sports sentiment: the relation between football match results and stock index returns in Europe (2009)On the existence of sports sentiment: the…S harpe, W illiam F . (2010)S harpe, W illiam F .Sports Sentiment and Stock Returns (2007)Sports Sentiment and Stock Re…All Events Induce Variance: Analyzing Abnormal Returns When Effects Vary across Firms (2007)All Events Induce Variance: A…Event studies with a contaminated estimation period (2006)Event studies with a contamin…Disappearing anomalies: a dynamic analysis of the persistence of anomalies (2006)Disappearing anomalies: a dyn…The Role of Feelings in Investor Decision-Making (2005)The Role of Feelings in Inves…Good Day Sunshine: Stock Returns and the Weather (2003)Good Day Sunshine: Stock Retu…Event‐Induced Volatility and Tests for Abnormal Performance (2003)Event‐Induced Volatility and …Economic impact of national sporting success: evidence from the London stock exchange (2003)Economic impact of national s…Losing Sleep at the Market: The Daylight-Savings Anomaly (2000)Losing Sleep at the Market: T…Losing Sleep at the Market: The Daylight Saving Anomaly (2000)Losing Sleep at the Market: T…Event-study methodology under conditions of event-induced variance (1991)Event-study methodology under…A New Approach to the Economic Analysis of Nonstationary Time Series and the Business Cycle (1989)A New Approach to the Economi…Risk aversion, uncertain information, and market efficiency (1988)Risk aversion, uncertain info…Friday the Thirteenth: `Part VII'-A Note (1987)Friday the Thirteenth: `Part …A Simplified Model for Portfolio Analysis (1963)A Simplified Model for Portfo…CAPITAL ASSET PRICES: A THEORY OF MARKET EQUILIBRIUM UNDER CONDITIONS OF RISK* (1964)Mutual Fund Performance (1966)A Better Three-Factor Model That Explains More Anomalies (2010)Sharpe ratios in term structure models (2011)Network Centrality and the Cross Section of Stock Returns (2013)The relationship between return and market value of common stocks (1981)The Cross-Section of Expected Stock Returns (1992)Contrarian Investment, Extrapolation, and Risk (1994)Calendar effects, market conditions and the Adaptive Market Hypothesis: Evidence from long-run U.S. data (2014)Revisiting fast profit investor sentiment and stock returns during Ramadan (2014)Zeroing In on the Expected Returns of Anomalies (2022)The Behavior of Stock-Market Prices (1965)On the Impossibility of Informationally Efficient Markets (1980)Does the Stock Market Overreact? (1985)Nonstationary expected returns (1989)When an event is not an event: the curious case of an emerging market (2000)Following the leader: (2001)Measuring security price performance (1980)Using daily stock returns (1985)The Event Study Methodology Since 1969 (1998)The Adjustment of Stock Prices to New Information (2003)Event Study Testing with Cross-sectional Correlation of Abnormal Returns (2010)Testing Asymmetric-Information Asset Pricing Models (2012)Autoregressive Conditional Heteroscedasticity with Estimates of the Variance of United Kingdom Inflation (1982)Trends and random walks in macroeconmic time series (1982)Co-Integration and Error Correction: Representation, Estimation, and Testing (1987)The Great Crash, the Oil Price Shock, and the Unit Root Hypothesis (1989)ARCH modeling in finance (1992)Introductory Econometrics for Finance (2008)Portfolio Selection: Efficient Diversification of Investments (1959)THE PERFORMANCE OF MUTUAL FUNDS IN THE PERIOD 1945–1964 (1968)THE VALUATION OF RISK ASSETS AND THE SELECTION OF RISKY INVESTMENTS IN STOCK PORTFOLIOS AND CAPITAL BUDGETS**This paper is another in a series of interrelated theoretical and statistical studies of corporate financial and investment policies being made under grants from the Rockefeller Foundation, and more recently the Ford Foundation, to the Harvard Business School. The generous support for this work is most gratefully acknowledged. The author is also much indebted to his colleagues Professors Bishop, Christenson, Kahr, Raiffa, and (especially) Schlaifer, for extensive discussion and commentary on an earlier draft of this paper; but responsibility for any errors or imperfections remains strictly his own.[Professor Sharpe's paper, “Capital Asset Prices: A Theory of Market Equilibrium Under Conditions of Risk” (Journal of Finance, September 1964) appeared after this paper was in final form and on its way to the printers. My first section, which parallels the first half of his paper (with corresponding conclusions), sets the algebraic framework for sections II, III and VI, (which have no counterpart in his paper) and for section IV on the equilibrium prices of risk assets, concerning which our results differ significantly for reasons which will be explored elsewhere. Sharpe does not take up the capital budgeting problem developed in section V below.] (1975)Prospect Theory: An Analysis of Decision under Risk (1979)Generalized autoregressive conditional heteroskedasticity (1986)Prospect theory: An analysis of decision under risk (1988)Investor Sentiment in the Stock Market (2007)Sentiment During Recessions (2012)Behavioral Finance (2015)Out of Control: Visceral Influences on Behavior (1996)The Role of Emotions in Marketing (1999)Risk as feelings. (2001)The Sum of All FEARS Investor Sentiment and Asset Prices (2014)Do Investors Value Sustainability? A Natural Experiment Examining Ranking and Fund Flows (2017)Stock returns and the weekend effect (1980)On the Relation between the Expected Value and the Volatility of the Nominal Excess Return on Stocks (1993)Investor Psychology and Asset Pricing (2001)Behavioural Finance: A Review and Synthesis (2007)Weather-Induced Mood, Institutional Investors, and Stock Returns (2014)Risk, Uncertainty and Profit (1921)The General Theory of Employment, Interest and Money. (1936)Air pollution and stock returns in the US (2011)Fast profits: Investor sentiment and stock returns during Ramadan (2011)Feverish sentiment and global equity markets during the COVID-19 pandemic (2021)
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References

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  • 1963A Simplified Model for Portfolio Analysis2,740 cited
  • 1991Event-study methodology under conditions of event-induced variance1,777 cited
  • 2003Good Day Sunshine: Stock Returns and the Weather1,742 cited
  • 2007Sports Sentiment and Stock Returns1,045 cited
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  • 2000Losing Sleep at the Market: The Daylight Saving Anomaly494 cited
  • 2005The Role of Feelings in Investor Decision-Making352 cited
  • 2010S harpe, W illiam F .192 cited
  • 2006Disappearing anomalies: a dynamic analysis of the persistence of anomalies175 cited
  • 2003Economic impact of national sporting success: evidence from the London stock exchange172 cited
  • 2007All Events Induce Variance: Analyzing Abnormal Returns When Effects Vary across Firms118 cited
  • 2000Losing Sleep at the Market: The Daylight-Savings Anomaly102 cited
  • 1987Friday the Thirteenth: `Part VII'-A Note97 cited
  • 2006Event studies with a contaminated estimation period93 cited

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2003
Event‐Induced Volatility and Tests for Abnormal Performance
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