TY - JOUR
T1 - Exploitable predictable irrationality
T2 - The FIFA world cup effect on the U.S. stock market
AU - Kaplanski, Guy
AU - Levy, Haim
PY - 2010/4
Y1 - 2010/4
N2 - In a recently published paper, Edmans, Garca, and Norli (2007) reveal a strong association between results of soccer games and local stock returns. Inspired by their work, we propose a novel approach to exploit this effect on the aggregate international level with the following three unique features: i) The aggregate effect does not depend on the games results; hence, the effect is an exploitable predictable effect. ii) The aggregate effect is based on many games; hence, it is very large and highly significant. We find that the average return on the U.S. market over the World Cups effect period is - 2.58%, compared to +1.21% for all-days average returns over the same period length. iii) Exploiting the aggregate effect is involved with trading in a single index for a relatively long period.
AB - In a recently published paper, Edmans, Garca, and Norli (2007) reveal a strong association between results of soccer games and local stock returns. Inspired by their work, we propose a novel approach to exploit this effect on the aggregate international level with the following three unique features: i) The aggregate effect does not depend on the games results; hence, the effect is an exploitable predictable effect. ii) The aggregate effect is based on many games; hence, it is very large and highly significant. We find that the average return on the U.S. market over the World Cups effect period is - 2.58%, compared to +1.21% for all-days average returns over the same period length. iii) Exploiting the aggregate effect is involved with trading in a single index for a relatively long period.
UR - http://www.scopus.com/inward/record.url?scp=77953602218&partnerID=8YFLogxK
U2 - 10.1017/S0022109010000153
DO - 10.1017/S0022109010000153
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AN - SCOPUS:77953602218
SN - 0022-1090
VL - 45
SP - 535
EP - 553
JO - Journal of Financial and Quantitative Analysis
JF - Journal of Financial and Quantitative Analysis
IS - 2
ER -