He mood beta concept of Hirschleifer, Jiang en Meng (2017) examined by incorporating soccer results

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This thesis examines the mood beta concept of Hirshleifer, Jiang and Meng (2017) in which Hirshleifer et al. claim that a unique mood beta fully captures a stocks’ sensitivity to mood. This thesis examines if such mood betas are significant by using a European instead of a U.S. sample, with stocks of companies included in the STOXX600. Moreover, this thesis also takes into account soccer results as an alternative measure of mood, in order to examine whether there is a correlation between the mood beta measured by calendar effects and the mood effect on stock prices caused by soccer results. If there is correlation, it can be concluded that the mood betas are indeed a valid measure of a stocks’ sensitivity to mood. First, this thesis tests whether the mood betas are significant. However, mostly insignificant mood betas are found. Second, no correlation is found between the stock return responses after international soccer wins and losses and the insignificant mood betas. Overall, this thesis questions whether the mood beta concept of Hirshleifer et al. (2017) is really a valid measure of stocks’ sensitivity to mood. However, the method could be valid but at least it can be concluded that the mood beta concept cannot be confirmed under all circumstances.
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