A symmetric Super Bowl stock market predictor model

• Published in: Financial markets and portfolio management Vol. 29; no. 2; pp. 115 - 124
• Main Authors: Born, Jeffery A., Acherqui, Yousra
• Format: Journal Article
• Language: English
• 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; G140 information
• DOI: 10.1007/s11408-015-0247-3
• ISSN: 1934-4554

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.