Beyond the Scoreline: How Betting Market Surprises Affect the Abnormal Returns of One of the World´s Largest Football Clubs

Sammanfattning

This thesis examines whether Manchester United’s Premier League match results, and deviations between actual results and betting market expectations, are associated with short term cumulative abnormal returns (CAR). The analysis examines the club’s Premier League matches from the 2013-2014 season to the 2024/2025 season, and uses an event study methodology. A continuous surprise variable is constructed using betting odds, and is measured as the difference between actual match outcomes and betting market expectations. The S&P 500 is used as the benchmark index in the market model that is used to estimate CAR. The findings indicate that both the actual match results and the betting market expectations are relevant information for the club’s short term CAR. While wins are not associated with positive CAR, the study provides evidence that losses are associated with negative CAR. Including the aspect of surprise, the Directional Surprise Model suggests that results that are better than expected are associated with higher CAR and results that are worse than expected are associated with lower CAR. The thesis also investigates whether there is a nonlinear relationship between surprise and CAR, and whether negative surprises cause stronger stock market reactions than positive surprises of the same magnitude. However, the study provides no evidence of nonlinearity, and only weak and non-robust evidence of asymmetry in negative and positive surprise magnitude effects when extending the main event window to more days. The thesis therefore contributes to existing research by providing evidence that the aspect of expectations should also be considered, beyond only the actual match outcome, when examining short term CAR in the context of football.