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Investor sentiment and sectoral stock returns

Investor sentiment and sectoral stock returns
Investor sentiment and sectoral stock returns
It is well known that investor sentiment affects aggregate stock returns. We investigate the economic link between sport sentiment and US sectoral stock returns. We find that sport sentiment affects only the financial sector. We argue that this result might be explained by the high liquidity that makes the financial sector more attractive to foreign investors who in turn are more prone to sport sentiment than local investors in the US. Accordingly, an arbitrageur can build a profitable trading strategy by selling short the financial sector during the FIFA World cup periods and buying it back afterwards.
market efficiency, Investor sentiment, soccer results, asset prices
1544-6123
267-274
Curatola, Giuliano
032b9cab-355e-4a10-b50f-0e8dc66dfba8
Donadelli, Michael
9836edb9-15f5-4bbc-9f57-cf4636285390
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Riedel, Max
034230e7-021b-49c5-8885-b763d17342fa
Curatola, Giuliano
032b9cab-355e-4a10-b50f-0e8dc66dfba8
Donadelli, Michael
9836edb9-15f5-4bbc-9f57-cf4636285390
Kizys, Renatas
9d3a6c5f-075a-44f9-a1de-32315b821978
Riedel, Max
034230e7-021b-49c5-8885-b763d17342fa

Curatola, Giuliano, Donadelli, Michael, Kizys, Renatas and Riedel, Max (2016) Investor sentiment and sectoral stock returns. Finance Research Letters, 17, 267-274. (doi:10.1016/j.frl.2016.03.023).

Record type: Article

Abstract

It is well known that investor sentiment affects aggregate stock returns. We investigate the economic link between sport sentiment and US sectoral stock returns. We find that sport sentiment affects only the financial sector. We argue that this result might be explained by the high liquidity that makes the financial sector more attractive to foreign investors who in turn are more prone to sport sentiment than local investors in the US. Accordingly, an arbitrageur can build a profitable trading strategy by selling short the financial sector during the FIFA World cup periods and buying it back afterwards.

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KIZYS_2016_cright_FRL_Investor_sentiment_and_sectoral_stock_returns - Accepted Manuscript
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Accepted/In Press date: 25 March 2016
e-pub ahead of print date: 31 March 2016
Published date: May 2016
Keywords: market efficiency, Investor sentiment, soccer results, asset prices

Identifiers

Local EPrints ID: 434500
URI: http://eprints.soton.ac.uk/id/eprint/434500
ISSN: 1544-6123
PURE UUID: d81b488b-ea27-46b9-a01b-c829654a7246
ORCID for Renatas Kizys: ORCID iD orcid.org/0000-0001-9104-1809

Catalogue record

Date deposited: 25 Sep 2019 16:30
Last modified: 28 Apr 2022 06:08

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Contributors

Author: Giuliano Curatola
Author: Michael Donadelli
Author: Renatas Kizys ORCID iD
Author: Max Riedel

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