Earticle

초록

영어

We exploit an interesting setting of Korean professional baseball league to examine whether sports sentiment affect investor behavior at the stock and/or fund levels. Korean baseball league is different from the Major League Baseball in the U.S. in that teams are explicitly associated with chaebol conglomerates, generating a direct and cross-sectional variation in investor sentiment. Using daily fund flow data, we find evidence of significant outflows from funds that hold a large weight on a conglomerate member following the team’s loss the previous day. This effect is the strongest among online retail funds, and this outflow does not appear to be driven by the investors’ prescient response to poor future returns. At the stock level, we similarly document significant net selling of conglomerate member firms by retail investors following the team’s loss. Using these cross-sectional variations, our paper uncovers strong evidence of behaviorally-motivated investment decisions driven by sports sentiment.

목차

Abstract
1. Introduction
2. Data and variable construction
3. Baseball Sentiment and the Stock Market
3.1. Are stock returns affected by baseball sentiment?
3.2. Analysis of order flow imbalance: Who drives the sentiment-based selling?
4. Baseball Sentiment and Fund Flows
4.1. Do baseball game losses result in substantial outflows?
4.2. Who drives sentiment-based outflows in mutual funds?
5. Discussion
5.1. Is there a “smart money” effect?
5.2. Is there a sports marketing effect?
5.3. Do some games elicit more pronounced investor response?
6. Conclusion
References

키워드

저자

• 한국재무학회 [ 한국재무학회 ]

참고문헌

발행기관

간행물

표지보기 관심저널 등록

• 간행물명

  한국재무학회 학술대회

• 간기

  부정기

• 수록기간

  2006~2024

• 십진분류

  KDC 325 DDC 330