In past decades, many empirical studies revealed return anomalies in many different asset classes and markets. Very recent publications have, however, even found evidence that stock markets react to the results of soccer matches. In this article, we argue that such empirical studies should be analysed carefully; we thus endorse the use of replication studies to verify results. Consequently, by rebuilding the study of Ashton et al. (2003), we are able to detect mistakes in the empirical set-up. Based on these findings, we demonstrate how even minor flaws can have a crucial influence on the results of such studies and point out pitfalls that are frequently encountered. We furthermore emphasize the importance of robustness checks to validate the results of empirical studies.
No Reference information available - sign in for access.
No Citation information available - sign in for access.
No Supplementary Data.
Document Type: Research Article
Chair of Accounting and Financing, University of Hohenheim, Schloss Osthof Ost, Stuttgart, Germany
Chair of Statistics, University of Augsburg, Augsburg, Germany
Chair of Banking and Finance, University of Augsburg, Augsburg, Germany
Publication date: 2009-11-01
More about this publication?