The impact of sports sentiment on stock returns: A case study from professional sports leagues

This paper studies the impact of professional sports games on the franchise's local stock market returns. A multi-step procedure designed to mitigate the volatility clustering and cross sectional correlation is used to estimate the effect of sports sentiment. The fixed effect panel data model is employed to explore whether the sports sentiment will affect the stock market returns. Our results show that the loss of sports game has negative impact on the stock market, e.g., a loss in the NFL playoff game is associated with next-day abnormal stock return of negative 52 basis points. The loss effect is consistent with the popularity of the games and the local characteristics amplifies the loss effect.