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Media Attention and Stock Categorization: An Examination of Stocks Hyped to Benefit from the Olympics

https://doi.org/10.2139/ssrn.3881333
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The 12 references without a DOI — listed, not checked
no DOI — not checkedA model of investor sentiment
no DOI — not checkedStyle investing
no DOI — not checkedref8
no DOI — not checkedref18
no DOI — not checkedBeijing Olympics Draw Largest Ever Global TV Audience
no DOI — not checkedEstimating the cost and benefit of hosting the Olympic Games
no DOI — not checkedref29
no DOI — not checkedref30
no DOI — not checkedNon-Olympic Stock Returni,t,k is the daily return for each non-Olympic stock in country k. Non-Olympic Indext,k is the average of the daily returns of all non-Olympic firms in each country k excluding firm i. Log of Total Assets is the natural logarithm of total assets. Log of Market Cap is the natural logarithm of market capitalization. Book-to-Market is the book value of equity scaled by market value of equity. Earnings-to-Price is net income as of the fiscal year-end scaled by the market value of equity as of the fiscal year-end. Return on Assets is net income scaled by average assets. Cash Flow from Operations is the Cash Flow from Operations scaled by average assets. Sales Growth is the one-year change in sales. The sample consists of 200 Olympic stocks and 200 non-Olympic stocks that were publicly traded during the Olympic winning bid announcement. All continuous variables are winsorized at 1 and 99%. T-statistics in parenthesis and stars denote statistical significance from twotailed tests. ***, **, and * denote statistical significance at the one, five, and ten percent levels, respectively. See Appendix B for detailed variable definitions. This table reports the results of regression of adjusted R 2 from Model (1) on the number of media mentions and indicators for the Middle Years and Olympic Years. Middle Years and Olympic Years are the eight years from the Olympic announcement to the end of the Olympic games. The base period is the three years prior to the winning bid announcement (Pre-Announcement Years) and the three years following the Olympics (Post-Game Years)
no DOI — not checkedAll continuous variables are winsorized at 1 and 99%. T-statistics in parenthesis and stars denote statistical significance from two-tailed tests when we do not have directional predictions and one-tailed tests for directional predictions. ***, **, and * denote statistical significance at the one, five, and ten percent levels, respectively. See Appendix B for detailed variable definitions. This table presents regressions of fundamental comovement (R 2 ROA, R 2 Revenue , and R 2 CFO for each period) for the London and Rio Olympics on indicators for the Middle and Olympic Years, Post-Game Years, and controls. Panel A presents results for the London 2012 Olympics using semi-annual data. Panel B presents results for the Rio 2016 Olympics using quarterly data. The base period is the 6 semi-annual periods (12 quarters) prior to the winning bid announcement (Pre-Announcement Years). Middle Years and Olympic Years are the 16 semi-annual periods (32 quarters) from the Olympic announcement to the end of the Olympic games. Post-Game Years are the 6 semi-annual periods (12 quarters) after the Olympic games. Log of Total Assets is the average value per period of the natural logarithm of the semi-annual (quarterly) total assets. Log of Market Cap. is the average value per period of the natural logarithm of semi-annual (quarterly) market capitalization. Return on Assets is the average value per period of the semi-annual (quarterly) net income scaled by the semi-annual (quarterly) average assets. Cash Flow from Operations is the average value per period of the semi-annual (quarterly) Cash Flow from Operations scaled by the semi-annual (quarterly) average assets. Revenue is the average value per period of the semi-annual (quarterly) sales scaled by the semi-annual (quarterly) average assets. The measures of fundamental comovement for Panels A and B are the adjusted R 2 s obtained from Models 3a and
no DOI — not checkedNon-Olympic Fundamental Returni,t,k is the daily return for each non-Olympic stock in country k. Non-Olympic Fundamental Indext, is either the average of the semi-annual (quarterly) Return on Assets, or Revenues Scaled by Average Assets, or Cash Flow from Operations scaled by average assets of all non-Olympic firms in each country k excluding firm i. The London sample in Panel A consists of 58 Olympic and 58 non-Olympic stocks that were publicly traded during the Olympic winning bid announcement and have at least 10 non-missing ROA, Revenue, and CFO per period. The Rio sample in Panel B consists of 14 Olympic and 14 non-Olympic stocks that were publicly traded during the Olympic winning bid announcement and have at least 10 non-missing ROA, Revenue, and CFO per period. We do not include results for Sydney
no DOI — not checkedref37
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