THE IMPACT OF THE PURCHASE AND SALE OF FOOTBALL PLAYERS AND COACHES ON PORTUGUESE FOOTBALL CLUBS’ SHARE PRICES – EFFICIENCY TEST

The main goal of this paper is to study how the 3 Portuguese listed football clubs’ share prices react to the announcement of transfers of their first-team football players and coaches in order to test market efficiency with regard to this type of event. From January 2015 to March 2020, 69 events were disclosed through the Portuguese regulator (CMVM) regarding these transfers from Futebol Clube do Porto, Sport Lisboa e Benfica and Sporting Clube de Portugal. An event-study methodology was used to analyse this hypothesis. The Average Abnormal Return (AAR) and Cumulative Average Abnormal Return (CAAR) were calculated using different event time window periods in order to observe the reaction of investors to such announcement. The results show that investors do not react to these announcements with no evidence of any type of abnormal return on any of the days throughout the event window. This result may be justified by the low liquidity of such shares. Football investors are normally fans of their clubs which often lead them to make decisions on an emotional rather than rational basis