Abnormal Returns of Soccer Teams: Reassessing the Informational Value of Betting Odds

Abstract

We analyse the links between soccer match results, betting odds and stock returns of all listed European soccer teams. Using an event-study approach, we measure positive (negative) abnormal returns following wins (ties and losses). Additionally, we analyse the role, which we find to be non-significant, of betting odds in shaping market reactions to unexpected results. We propose an alternative econometric approach, using seemingly unrelated regressions models, to take into account the problem of overlapping events. Abnormal returns following unexpected results are then found to be statistically significant, and to magnify the positive (negative) effects of wins (losses).