While literature on the relation between on-field sports performance and stock returns is ample, there is very limited evidence on off-season stage. Constituting around 3 months, off-seasons do not only occupy a significant part of the year but also represent totally different characteristics than on-seasons. They lack the periodic, unambiguous news events in on-seasons (match results), instead they are associated with highly uncertain transfer news and rumors. We show that this distinction has

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... several impacts on the stock market performances of soccer clubs. Most notably, off-seasons generate substantially higher (excess) returns. After controlling for other variables, the estimated effect of off-season periods is as high as 38.75%, annually. In line with several seminal studies, we link this fact to increased optimism and betting behavior through uncertain periods; and periods prior to the start of a new calendar (in our case, new season). For all of the examined 7 clubs (3 from Italy and 4 from Turkey), mean excess returns over the market are positive (negative) in off-seasons (on-seasons). On-seasons are associated with increased trading activity due to more frequent news. Stocks of Italian clubs are evidently more volatile through off-seasons while volatility results for the stocks of Turkish clubs are not consistent.