My colleague, Craig Newmark, just posted a link to a report on an article that claims that there is a link between whether a firm advertises in the Super Bowl and that firm's stock performance immediately after the game. The authors claim a significant positive relation.
Like Craig, I don't buy it. I'd like to have a good look at the paper, but the authors don't appear to have it posted in any of the usual places - for example on their websites. So it is hard to look at their method. My guess is that the effects are due to mis-measurement, failing to correct for risk and other known factors that affect stock returns, oh and of course luck. The results would imply a very simple trading rule, which I just don't buy.
There are, however, some cases where a link between sports advertising and stock performance has been found. For example, there is the NASCAR effect - where the winning car's sponsor gets a small stock price boost. This effect makes a bit more sense because brands are tied more directly to the outcome of the race, and NASCAR fans are very loyal. So there may be a real spike in sales of soap powder after a win.