Does Sport Sentiment Matter on Stock Returns? Aspect of Social Identity Theory

Inspired by Edmans, García, & Norli (2007) reveal a strong association between results of soccer games and local stock returns, this study try to investigate that important soccer games, especially FIFA World Cups affect market sentiment, thus affecting stock prices by considering the aspect of social identity theory. Object includes 20 countries of 17th to 19th FIFA World Cups.In contrast to the approach adopted to measure excess stock returns by literature, we consider three conditions: (1) Whether the country has own national soccer team and stock market or not; (2) There is time-lagged effect between sports sentiment and stock returns; (3) Control the effect of last game result. Therefore, we suggest that investors can sell the stocks when win, and buy the lower price of stocks when loss on the game day or next day, and the investors could sell the stocks on the stock market when this game has won and the last has lost or buy the stocks on the stock market when this game has lost and the last has won for earning future stock returns