Stock Returns on Football Clubs: The Effect of Surprises on the Pitch

Abstract: This paper analyzes the impact of match results on stock returns of listed football clubs in England between the season 2000/2001 and March 2009. Based on the efficient market hypothesis and a paper published by Bernanke & Kuttner, the hypothesis is that unanticipated match results should to a larger extent affect abnormal returns than anticipated ones. In contrast to previous research, we find that match results cannot explain the abnormal returns, regardless of expectations. However, to qualify for the Champions League, be promoted or avoid relegation late in the season is important. Furthermore, news about the club and earnings surprises also have explanatory power.