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1、THEJOURNALOFFINANCE•VOL.LXII,NO.4•AUGUST2007SportsSentimentandStockReturnsALEXEDMANS,DIEGOGARCIA,andØYVINDNORLI´∗ABSTRACTThispaperinvestigatesthestockmarketreactiontosuddenchangesininvestormood.Motivatedbypsychologicalevidenceofastronglinkbetweensocceroutcomesandmood,weuseinternationalsoccer
2、resultsasourprimarymoodvariable.Wefindasignificantmarketdeclineaftersoccerlosses.Forexample,alossintheWorldCupeliminationstageleadstoanext-dayabnormalstockreturnof−49basispoints.Thislosseffectisstrongerinsmallstocksandinmoreimportantgames,andisrobusttomethodologicalchanges.Wealsodocumentalos
3、seffectafterinternationalcricket,rugby,andbasketballgames.THISPAPEREMPLOYSANOVELMOODVARIABLE,internationalsoccerresults,toinves-tigatetheeffectofinvestorsentimentonassetprices.Usingacross-sectionof39countries,wefindthatlossesinsoccermatcheshaveaneconomicallyandstatisticallysignificantnegativ
4、eeffectonthelosingcountry’sstockmarket.Forexample,eliminationfromamajorinternationalsoccertournamentisas-sociatedwithanext-dayreturnonthenationalstockmarketindexthatis38basispointslowerthanaverage.Wealsodocumentalosseffectafterinterna-tionalcricket,rugby,andbasketballgames.Onaverage,theeffec
5、tissmallerinmagnitudefortheseothersportsthanforsoccer,butisstilleconomicallyandstatisticallysignificant.Wefindnoevidenceofacorrespondingeffectafterwinsforanyofthesportsthatwestudy.Controllingforthepre-gameexpectedout-come,weareabletorejectthehypothesisthatthelosseffectaftersoccergamesisdrive
6、nbyeconomicfactorssuchasreducedproductivityorlostrevenues.We∗EdmansisfromtheWhartonSchool,UniversityofPennsylvania,Garc´ıaisfromtheKenan-FlaglerBusinessSchool,UniversityofNorthCarolinaatChapelHillandNorliisfromtheNorwe-gianSchoolofManagement.PartofthisresearchwasconductedwhileNorliandGarc´ıa
7、wereattheTuckSchoolofBusinessatDartmouth.Thispaperisincludedaschapter2ofEdmans’sthesisattheMITSloanSchoolofManagement.Itwasearliercirculatedastwoseparatepapers:“Foot-ballandStockReturns”byDiegoGarc´ıaandØyvindNorliand“Soccer,Sentiment,andStocks”byA
