À繫¿¬±¸ Á¦ ±Ç È£ (2020³â 8¿ù)
Asian Review of Financial Research, Vol., No..
pp.825~862
pp.825~862
Down and Out? Baseball Sentiments and Investor Behavior
Çѱ¹À繫ÇÐȸ Çѱ¹À繫ÇÐȸ
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.
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.
Equity mutual funds,sentiment,sports game results,fund flow