This paper examines sporting event’s spill over effect to investor’s behavior through event study analysis using the GARCH (p,q) model, focusing on the stock price effects of a sport sponsorship program during and after a sporting event. Studying stock price behavior during a sporting event is attempted for the first time in the marketing and sponsorship literature. First, we provide some summary points from the review of 40 research works and interpretive claims, based on a conceptual and theoretical framework. Second, we consider daily stock returns of 28 listed companies that have sponsored 15 major sports events during the period 2000–2009, in order to examine the effect of major sporting events on sponsors’ stock returns and volatility. The three research hypotheses are supported. Research results show that stock returns and volatility changed significantly during and after the sporting event compared to pre-event period. Results show that stock price effects caused by sports events’ sponsorship programs are firm-specific, as well as sporting event specific. The findings of this study are of high value for promotion managers as it allows them to become more critically aware of the practical wisdom of sporting events.