Exploitable Predictable Irrationality: The FIFA World Cup Effect on the US Stock Market
Exploitable Predictable Irrationality: The FIFA World Cup Effect on the US Stock Market
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DOI：
10.1017/s0022109010000153
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发表时间：
2010-04-01
影响因子：
3.9
通讯作者：
Levy, Haim
中科院分区：
文献类型：
--
作者：
Kaplanski, Guy;Levy, Haim
在最近发表的一篇论文中，Edmans，Garcia和Norli（2007）揭示了足球比赛结果和当地股票回报之间的强烈关联。受他们工作的启发，我们提出了一种新的方法来利用这种效应在总体国际水平上具有以下三个独特的特点：i）总体效应不依赖于游戏的结果;因此，效果是一个可利用的可预测的效果。ii）总效应是基于许多博弈的;因此，它非常大，非常重要。我们发现，美国市场在世界杯影响期内的平均回报率为-2.58%，而同期全天平均回报率为+1.21%。在）利用总效应涉及在一个相对较长的时期内在一个单一的指数交易。
In a recently published paper, Edmans, Garcia, 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 Cup's effect period is -2.58%, compared to +1.21% for all-days average returns over the same period length. in) Exploiting the aggregate effect is involved with trading in a single index for a relatively long period.