Scandinavian Working Papers in Economics

Discussion Papers on Economics,
University of Southern Denmark, Department of Economics

No 3/2012: The news model of asset price determination - An empirical examination of the Danish football club Brøndby IF

Casper W. Jørgensen, Mark R. Moritzen and Georg Stadtmann ()
Additional contact information
Casper W. Jørgensen: University of Southern Denmark, Postal: Campusvej 55, DK-5230 Odense M, Denmark
Mark R. Moritzen: University of Southern Denmark, Postal: Campusvej 55, DK-5230 Odense M, Denmark
Georg Stadtmann: Department of Business and Economics, Postal: University of Southern Denmark, Campusvej 55, DK-5230 Odense M, Denmark

Abstract: According to the news model of asset price determination, only the unexpected component of an information should drive the stock price. We use the Danish publicly listed football club Brøndby IF to analyze how match outcome impacts the stock price. To disentangle gross news from net news, betting odd information is used to control for the expected match outcome.

Keywords: News model; football industry; betting odds; stock market; market efficiency; event study

JEL-codes: G14; G32; L83

8 pages, January 5, 2012

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