Sports Mood Index, institutional investors, and earnings announcement anomalies

被引：4

作者：

Wu, Runze ^{[1
]}

机构：

[1] Minjiang Univ, Newhuadu Business Sch, Fuzhou, Peoples R China

来源：

JOURNAL OF BEHAVIORAL AND EXPERIMENTAL FINANCE | 2022年 / 35卷

关键词：

Sports Mood Index (SMI); Institutional investors; Uncertainty avoidance; Inattention; Earnings announcement premium; Post-earnings-announcement drift (PEAD); STOCK RETURNS; ATTENTION; WEATHER; UNDERREACTION; FOOTBALL; BEHAVIOR; SEARCH; DRIVEN; NEWS; CUP;

D O I：

10.1016/j.jbef.2022.100688

中图分类号：

F8 [财政、金融];

学科分类号：

0202 ;

摘要：

I construct the Sports Mood Index (SMI) of 49 metropolitan areas in the U.S. and Canada based on the performance of Big 4 professional sports teams and build the firm-level SMI based on institutional investors' holdings as a proxy for investors' mood. In sports-induced bad mood settings, earnings announcement premium becomes higher because of increased uncertainty avoidance premium, and post-earnings-announcement drift (PEAD) becomes lower because of the reversal effect. A one -standard-deviation increase in the SMI leads to a 22 bps increase in earnings announcement premium and a 16 bps decrease in PEAD in the following week. Whereas sports-induced good mood has no significant impact on the trading behavior of institutional investors, sports-induced bad mood leads to inattention. Institutional investors with sports-induced bad mood underreact to standardized unexpected earnings when faced with both positive and negative news, as evidenced by lower abnormal trading volume around earnings announcement days. (c) 2022 Elsevier B.V. All rights reserved.

引用

页数：18

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