ABSTRACT

Research question: Previous studies have examined the impact of various sports-related events on the stock exchange; however, the impact of information leakage about players’ transfer on the stock price of football clubs is yet to be explored. This study seeks to bridge the gap by investigating whether abnormal returns occur at well-known European football clubs before the announcement of the transfer.

Research method: Using an event study methodology, the effect of 272 player purchases between 2015 and 2019 were analysed. The abnormal returns were estimated by applying a partial adjustment model containing the autoregressive conditional heteroscedasticity specification; then, the typical runs of cumulative abnormal returns were identified.

Results and findings: In the vast majority of cases, the stock reacted to the announcement; moreover, in two-thirds of the transactions, information leakage was also established. Because the small shareholders of football clubs are, presumably, emotional investors, rather than rational ones, most of the transfers affect share prices even before the announcement; this is potentially because the acquisition of a star player strengthens both their commitment to the club and belief in its sporting success.

Implications: This study provides some managerial implications for football club owners, managers, and regulators. Although there is information leakage, it is not of such a magnitude as to require the regulation of the stock market and bulk trading. It can be stated that investors were most likely to receive extra profit as a reward for their committed supporter attitude, and this is by no means a market failure.

摘要

研究问题：以往的研究考察了各种体育相关事件对证券交易所的影响；然而，球员转会信息泄露对足球俱乐部股价的影响尚待探索。本研究旨在通过调查在宣布转会前欧洲知名足球俱乐部是否出现异常回报来弥合差距。

研究方法：使用事件研究方法，分析了 2015 年至 2019 年间 272 名球员购买的影响。通过应用包含自回归条件异方差规范的偏调整模型来估计异常收益；然后，确定了累积异常收益的典型运行。

结果和调查结果：在绝大多数情况下，股票对公告作出反应；此外，在三分之二的交易中，还存在信息泄露。由于足球俱乐部的小股东可能是情绪投资者而非理性投资者，因此大部分转让甚至在公告之前就影响了股价；这可能是因为收购一名明星球员既增强了他们对俱乐部的承诺，也增强了他们对俱乐部运动成功的信念。

启示：本研究为足球俱乐部所有者、经理和监管者提供了一些管理启示。虽然存在信息泄露，但还没有到需要对股市和大宗交易进行监管的程度。可以说，投资者最有可能获得额外的利润作为他们坚定的支持者态度的回报，这绝不是市场失灵。