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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Published in | Financial markets and portfolio management Vol. 29; no. 2; pp. 115 - 124 |
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Main Authors | , |
Format | Journal Article |
Language | English |
Published |
New York
Springer US
01.05.2015
Springer Nature B.V |
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Abstract | 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. |
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AbstractList | 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. 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. |
Author | Acherqui, Yousra Born, Jeffery A. |
Author_xml | – sequence: 1 givenname: Jeffery A. surname: Born fullname: Born, Jeffery A. email: j.born@neu.edu organization: Finance Group, D’Amore-McKim School of Business, Northeastern University – sequence: 2 givenname: Yousra surname: Acherqui fullname: Acherqui, Yousra organization: Delphin Investments |
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References | Fama (CR3) 1965; 38 Fehle, Tsyplakov, Zdorovtsov (CR5) 2005; 11 Nison (CR10) 1994 CR2 Fama, Blume (CR4) 1966; 39 Krueger, Kennedy (CR8) 1990; 45 Rayhorn, Drosen, Janson (CR11) 2013; 25 Kester (CR6) 2010; 19 CR7 Alexander (CR1) 1961; 2 CR9 CR Rayhorn (247_CR11) 2013; 25 S Nison (247_CR10) 1994 TM Krueger (247_CR8) 1990; 45 247_CR9 E Fama (247_CR3) 1965; 38 GW Kester (247_CR6) 2010; 19 247_CR7 E Fama (247_CR4) 1966; 39 F Fehle (247_CR5) 2005; 11 SS Alexander (247_CR1) 1961; 2 247_CR2 |
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Snippet | 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... 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... |
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Title | A symmetric Super Bowl stock market predictor model |
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