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The news model of asset price determination – an empirical examination of the Danish football club Brøndby IF

2012; Taylor & Francis; Volume: 19; Issue: 17 Linguagem: Inglês

10.1080/13504851.2012.667533

1466-4291

Casper W. Jørgensen, Mark R. Moritzen, Georg Stadtmann,

Financial Markets and Investment Strategies

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 analyse 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.