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Impacto dos resultados desportivos na rendibilidade das ações das SAD portuguesas: o caso da Benfica SAD
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Resumo(s)
Cada vez mais o futebol está a assumir uma predominância maior nos mercados fi-nanceiros 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 de difícil previsão, importa perceber em que medida os resultados têm impacto no valor da cotação. Foi esta ideia que motivou à realização deste trabalho. Utilizou-se a metodologia do Evento e analisou-se o valor da cotação da ação da SAD do Benfica durante 3 épocas des-portivas, 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, analisámos também se os jogos nacionais e os internacionais tinham impactos diferentes. Para tal, foi calculada a rendibilidade supranormal, que consiste na diferença entre a rendi-bilidade esperada e a rendibilidade efetiva. Foram efetuados Testes Paramétricos (T-Test) e Testes não Paramétricos (Teste de Wilcoxon) sobre os dados obtidos, por forma a compro-var 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 e o valor da ação no dia útil seguinte. 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.
ABSTRACT: Football is becoming more prevalent in the global financial markets. In addition to the financing of the clubs themselves, professionalization and exorbitant financial flows make this market very attractive to investors. However, as the behavior of the games is totally random and difficult to predict, it is important to understand to what extent the results have an impact on the value of the quotation. It was this idea that motivated this work. The Event methodolog y was used and the price of the share of Benfica SAD was analyzed during 3 sports seasons, considering the value of its price on the business day after the matches. The impact of defeats, draws and victories was tested. Subsequently, we also analyzed whether national and international games had different impacts. For this purpose, the ab-normal return was calculated, which consists of the difference between the expected return and the effective return. Parametric Tests (T-Test) and Non-Parametric Tests (Wilcoxon Test) were carried out on the data obtained, in order to prove that the results of the games have an impact on the value of the shares and lead to abnormal returns. The conclusions point out that there is a direct relationship between the results of the games and the share price on the following business day. There is a positive abnormal return on winning days (0.00869) and, on the other hand, a negative abnormal return on defeats (-0.0284). In the case of a tie it is not significant.
ABSTRACT: Football is becoming more prevalent in the global financial markets. In addition to the financing of the clubs themselves, professionalization and exorbitant financial flows make this market very attractive to investors. However, as the behavior of the games is totally random and difficult to predict, it is important to understand to what extent the results have an impact on the value of the quotation. It was this idea that motivated this work. The Event methodolog y was used and the price of the share of Benfica SAD was analyzed during 3 sports seasons, considering the value of its price on the business day after the matches. The impact of defeats, draws and victories was tested. Subsequently, we also analyzed whether national and international games had different impacts. For this purpose, the ab-normal return was calculated, which consists of the difference between the expected return and the effective return. Parametric Tests (T-Test) and Non-Parametric Tests (Wilcoxon Test) were carried out on the data obtained, in order to prove that the results of the games have an impact on the value of the shares and lead to abnormal returns. The conclusions point out that there is a direct relationship between the results of the games and the share price on the following business day. There is a positive abnormal return on winning days (0.00869) and, on the other hand, a negative abnormal return on defeats (-0.0284). In the case of a tie it is not significant.
Descrição
Palavras-chave
Mercados financeiros Resultados desportivos Rendibilidade supranormal Financial markets Sports results Abnormal profitability
Contexto Educativo
Citação
TEIXEIRA, Nuno ; RUSSO, Zélia ; BRITES, Rui (2020) - Impacto dos resultadis desportivos na rendibilidade das ações das SAD portuguesas : o caso da Benfica SAD. GESTIN. ISSN 1645-2534. Ano 16, nº 20/21, p. 155-173.
Editora
Escola Superior de Gestão de Idanha-a-Nova