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Publication
Impacto dos resultados desportivos na rendibilidade das ações das SAD portuguesas: o caso da Benfica SAD
| Name: | Description: | Size: | Format: | |
|---|---|---|---|---|
| 1.83 MB | Adobe PDF |
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Advisor(s)
Abstract(s)
Cada vez mais o futebol está a assumir uma predominância maior nos mercados
financeiros mundiais. Além do financiamento dos próprios clubes, a
profissionalização e os fluxos monetários de dimensões exorbitantes, tornam este
mercado muito apetecível aos investidores. No entanto, como o comportamento dos
jogos é totalmente aleatório e difícil previsão, importa perceber em que medida os
resultados dos jogos têm impacto no valor da cotação. Foi esta ideia que motivou à
realização deste trabalho.
Para testarmos a teoria, foi utilizada a metodologia do Evento e analisámos o valor
da cotação da ação da SAD Benfiquista durante 3 épocas desportivas,
considerando para o efeito, o valor da sua cotação no dia útil a seguir à realização
dos jogos. Foi testado o impacto das derrotas, dos empates e das vitórias.
Posteriormente, analisamos também se os jogos nacionais e os internacionais
diferenciavam entre si.
Para comprovar a teoria, foi calculada a rendibilidade supranormal, que consiste na
diferença entre a rendibilidade esperada e a rendibilidade efetiva. Foram efectuados
Testes Paramétricos (T-Test) e Testes não Paramétricos (Teste de Wilcoxon) sobre
os dados obtidos, por forma a comprovar que os resultados dos jogos têm impacto
sobre o valor das ações e levam a rendibilidades supranormais.
As conclusões apontam para que exista uma relação direta entre os resultados dos
jogos (derrotas, empates e vitórias) e o valor da ação no dia útil seguinte. Ou seja,
existe uma rendibilidade supranormal nos dias úteis seguintes aos jogos. Verifica-se
uma rendibilidade supranormal positiva em dias de vitórias (0,00869) e, em
contrapartida, uma rendibilidade supranormal negativa nas derrotas (-0,0284). No
caso de empate não é significativo
Nowadays football is becoming more prevalent in world financial markets. In addition to club funding itself, professionalization and exorbitant cash flows make this market very attractive to investors. However, as the outcomes of the games are totally random and difficult to predict, it is important to understand to what extent the results of the games impact the stock’s value. It was this idea that motivated this work. To test the theory, the Event methodology was used and we analyzed the value of Befica’s SAD stocks price during 3 sports seasons, considering the value of its quotation on the business day following the games. The impact of defeats, draws and wins was tested. Subsequently, we also analyzed whether national and international games differed from each other. To substantiate the theory, the abnomral return, which is the difference between the expected return and the effective return, was calculated. Parametric Tests (T-Test) and Non-Parametric Tests (Wilcoxon Test) were performed on the data obtained, in order to prove that the results of the games have an impact on the value of the stocks and lead to abnormal returns. The findings point to a direct relationship between game results (losses, draws and wins) and the value of the stocks on the next business day. That is, there is a abnormal profitability on the business days following the games. There is a positive abnormal return on winning days (0.00869) and a negative abnormal return on defeats (-0.0284). In the case of a tie it’s not significant.
Nowadays football is becoming more prevalent in world financial markets. In addition to club funding itself, professionalization and exorbitant cash flows make this market very attractive to investors. However, as the outcomes of the games are totally random and difficult to predict, it is important to understand to what extent the results of the games impact the stock’s value. It was this idea that motivated this work. To test the theory, the Event methodology was used and we analyzed the value of Befica’s SAD stocks price during 3 sports seasons, considering the value of its quotation on the business day following the games. The impact of defeats, draws and wins was tested. Subsequently, we also analyzed whether national and international games differed from each other. To substantiate the theory, the abnomral return, which is the difference between the expected return and the effective return, was calculated. Parametric Tests (T-Test) and Non-Parametric Tests (Wilcoxon Test) were performed on the data obtained, in order to prove that the results of the games have an impact on the value of the stocks and lead to abnormal returns. The findings point to a direct relationship between game results (losses, draws and wins) and the value of the stocks on the next business day. That is, there is a abnormal profitability on the business days following the games. There is a positive abnormal return on winning days (0.00869) and a negative abnormal return on defeats (-0.0284). In the case of a tie it’s not significant.
Description
Keywords
Mercados Financeiros Resultados Desportivos Rendibilidade Supranormal Estudo do Evento Financial Markets Sports Results Abnormal Profitability Event Study