Abstract
We have found a significant sentiment effect from national soccer match outcomes on the Korean stock market, consistent with studies on other countries. Further investigation reveals, however, that such sentiment effect is extremely short-lived and the magnitude of ensuing expected returns based on the sentiment effect is about the same as the transaction costs. Therefore, we conclude that although a significant soccer-sentiment effect from losses exists, it seems almost impossible to devise reliable arbitrage opportunities from it due to its short duration and the small magnitude of expected returns.
Original language | English |
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Pages (from-to) | 213-226 |
Number of pages | 14 |
Journal | Asia-Pacific Journal of Accounting and Economics |
Volume | 22 |
Issue number | 2 |
DOIs | |
Publication status | Published - 2015 Apr 3 |
Keywords
- sentiment effect
- soccer
- stock returns
- transaction costs
ASJC Scopus subject areas
- Accounting
- Finance
- Economics and Econometrics