A symmetric Super Bowl stock market predictor model

Krueger and Kennedy (J Fin 45:691–697, 1990 ) were the first to empirically document the remarkable stock market predictive power of the winner of the Super Bowl. The original model had investors go “long” in the market when the Super Bowl was won by a team from the old NFL, but park their money in...

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Bibliographic Details
Published inFinancial markets and portfolio management Vol. 29; no. 2; pp. 115 - 124
Main Authors Born, Jeffery A., Acherqui, Yousra
Format Journal Article
LanguageEnglish
Published New York Springer US 01.05.2015
Springer Nature B.V
Subjects
Abnormal returns
Business and Management
Finance
Investment policy
Management
Securities markets
Studies
United States > US
Market efficiency
Stock market
Symmetric
Super Bowl
Prediction model
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Summary:Krueger and Kennedy (J Fin 45:691–697, 1990 ) were the first to empirically document the remarkable stock market predictive power of the winner of the Super Bowl. The original model had investors go “long” in the market when the Super Bowl was won by a team from the old NFL, but park their money in T-Bills when the Super Bowl was won by a team from the old AFL—a non-symmetric trading rule. We create a symmetric rule (go “long” in the market when the old NFL wins; go “short” when they lose) and compare its efficacy to the original formulation. The symmetric rule outperforms the original KK specification in the period covered by their study (1967–1988), but performs worse than the original specification (and the naïve buy-and-hold strategy) since 1988.
ISSN:1934-4554
2373-8529
DOI:10.1007/s11408-015-0247-3