In this study we analyse the link between stock
returns and results in national league matches for 13 clubs of six different
European countries. We assume that the stock prices should only respond to the
unexpected component of match results, and we use betting odds to separate the
expected component of the results from the unexpected one. We consider both the
unweighted results (each match having the same weight in the model) and the
results weighted by a new measure of match importance that we develop. We
conclude that, when this measure is used to weight the unexpected component of
the results, there is a significant link between the results and stock
performance for 12 out of the 13 considered clubs. So, this link can be
considered to be quite consistent. We also conclude that using this measure of match
importance to weight the unexpected component of the match outcomes leads to an
improvement in the results we achieve.
JEL Classification: G14, C30.
returns; Football results; Football teams; Information in stock markets; MGARCH.