Market reaction to public information: The atypical case of the Boston Celtics

• 成果类型: Article
• 署名作者: Brown, GW; Hartzell, JC
• 署名单位: University of North Carolina; University of North Carolina Chapel Hill; New York University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/S0304-405X(01)00047-2
• 发表日期: 2001
• 页码: 333-370
• 关键词: Information effects; investor expectations; volatility; Boston Celtics; betting markets

摘要

The publicly traded Boston Celtics Limited Partnership shares provide a unique means of studying the impact of information on equity prices. The results of the Celtics' basketball games significantly affect partnership share returns, trading volume, and volatility. Controlling for the expected value of the signal using betting-market point spreads has little effect on these relations. Investors respond asymmetrically to wins and losses, and playoff games have a larger impact on returns than regular-season games. Opening prices do not fully reflect game results, consistent with previous findings that significant volatility is caused by traders acting on private information. (C) 2001 Elsevier Science S.A. All rights reserved.