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Investors’ reaction to the release of public information: A cross-sectional study of the famous European football clubs from season 2002-2003 to season 2011-2012
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration. ESC Dijon Bourgogne.
Umeå University, Faculty of Social Sciences, Umeå School of Business and Economics (USBE), Business Administration. Grenoble Ecole de Management.
2013 (English)Independent thesis Advanced level (degree of Master (Two Years)), 10 credits / 15 HE creditsStudent thesis
Abstract [en]

This study deals with market reaction to public information. The sample studied concerns six different famous European football clubs that are regularly involved in European competitions. These clubs are AS Roma from the Italian championship Calcio Serie A, FC Porto from the Portuguese championship Super Liga, Ajax Amsterdam from the Dutch championship Holland Casino Eredivisie, Galatasaray and Besiktas Istanbul from the Turkish championship Super Lig, and Celtic Glasgow from the Scottish championship Premier League.


            Palomino et al. (2009) is the main source of inspiration for this study. Most of the findings are in lines with their results. There are two main contributions in this research. Firstly, our sample is composed by clubs from 5 different European countries: Italy, Scotland, Turkey, Portugal and Netherlands. Secondly, the ten years period of the study includes the financial crisis period. The results obtained for the financial crisis period have contaminated most of our results, justifying the choice to focus mainly on the results of the period 2002-2012 without the 2007-2009 period, which is the period associated to the financial crisis.


            This research is divided into four parts. We firstly find evidence that the release of public information during the on-season has more influence than the one of the off-season. Indeed, the abnormal volumes calculated during the on-season are greater than the abnormal volumes computed during the off season. Likewise, we observed similar results as for the volatility. Secondly, this study demonstrates that the games’ results have a positive or a negative impact on the shares’ clubs returns depending on the game outcome. Indeed, the abnormal returns’ results are negative for losses and positive for wins. Moreover, we demonstrate that the stock market absorbs negative events (e.g. defeats) faster than the positive events (e.g. victories). Thirdly, we found that the losses that occur at the end of the season have more impact in terms of magnitude on the abnormal returns. On the contrary, the investors do not seem to react differently regarding the wins. Then, we were unable to find relevant findings regarding the unexpected results’ impact on the clubs’ share price. Surprisingly, we found that there is a surprise effect concerning victories whereas there is no surprise effect regarding the defeats.


            Most of the findings of the study prove that public information concerning game results does influence investors’ behavior and thus have a significant impact on the share price of the famous European clubs.

Place, publisher, year, edition, pages
2013. , 81 p.
Keyword [en]
Football, information salience, public information, investors’ behavior, betting odds, financial crisis
National Category
Business Administration
URN: urn:nbn:se:umu:diva-76220OAI: diva2:635825
Educational program
Master's Programme in Finance
Social and Behavioural Science, Law
Available from: 2013-08-06 Created: 2013-07-05 Last updated: 2013-08-06Bibliographically approved

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Cosquer, GuénoléBerthelmé, Jean-Eudes
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