Football stocks and their impact on portfolio risk and return: a case study of selected European clubs

29/10/2024

This dissertation investigates the impact of football stocks on portfolios performances, more precisely on the mean returns and risk. Multiple econometric and big data tools, as well as the Modern Portfolio Theory by Markowitz are used in order to assess whether football stocks can be financially interesting when integrated to traditional assets portfolios. Data from listed football clubs, namely Juventus, Borussia Dortmund, Trabzonspor, Beisktas, Galatasaray, Copenhagen, Benfica, Lazio, Fenerbahce and Brøndbyernes, are integrated into two portfolios: one based on size and book-to-market ratio and the other comprising industry-specific portfolios. The literature review goes over the unique risk profile of football stocks and market behaviours, influenced by on-field performance but also player transactions and other internal and external events. A financial background review is also provided as to fully understand the key findings of the analysis. This Master's dissertation aims to provide better understanding of alternative investments and provide insights as to whether football stocks can be a good addition in a portfolio. Key findings show that while football stocks enhance the Sharpe Ratio (ratio of the mean returns over the standard deviation, the higher the better) and the transaction costs in the majority of the cases, the impact on the distribution of the returns is less certain as mixed results were observed in the kurtosis and skewness, sometimes leading to returns being less predictable despite a higher expected profitability. Findings also show that football stocks aggregated under one industry have a bigger impact than when considering football stocks individually.

Autores da comunidade :

• 

  G

  Gabriel Kurt

  ist1109103

Orientadores desta instituição:

• 

  A

  António Sérgio Constantino Folgado Ribeiro

  ist154299

• 

  I

  Inês Isabel Carrilho Nunes

  ist423260

other-engineering-and-technologies - Outras Ciências da Engenharia e Tecnologias

eng - Inglês

Instituto Superior Técnico