SSRN-Football and Stock Returns by Alex Edmans, Diego Garcia, Oyvind Norli
"This paper investigates the stock market reaction to the outcome of international football competitions, such as the FIFA World Cup, a variable shown in psychological literature to have a dramatic effect on mood. We document an economically and statistically significant market decline after football losses. Daily stock returns are 39 basis points lower than average following a loss in a World Cup elimination match."Score one more paper for behavioral finance.
ARGH....I wanted to do this one! Well actually what I want to do is to look at stock returns following World Series and Super Bowl Victories. Anyone interested and have access to CRSP? Give me an email.
BTW note this is different than the story in "my" (and I use that term loosely as my co-authors probably did more work on each than I) Endorsement paper and Nascar paper. In each of those the events had specific cash flow implications. The cash flow implications for this "football" (err, soccer) are much more tenuous.
Edmans, Alex J., Garcia, Diego and Norli, Oyvind, "Football and Stock Returns" (May 2005). EFA 2005 Moscow Meetings http://ssrn.com/abstract=677103