Sky's shares are trading more than 3% down after it agreed to pay £4.1bn to show live Premier League football between 2016 and 2019.
Sky won five of the seven TV packages on offer, but paid 83% more than it did in the last auction three years ago.
However, shares in BT rose more than 2.5% after it paid £960m for two of the TV packages, 30% more than last time.
Analysts at Jeffries said the outcome had been "sobering" for Sky, but "reassuring" for BT.
Sky and BT paid a combined £5.136bn for the live TV rights deal - far in excess of what had been expected.
Jefferies said the deal would be "challenging to explain" to Sky shareholders.
"For Sky, a sobering result," Jefferies said. "Even with some claw back on costs/pricing, we expect [analyst] forecasts to move lower," it said.
The price Sky paid per year was about £330m more than City analysts had predicted.
Jeffries estimated that Sky would try to claw back about £200m a year through cost-cutting and £100m through incremental price rises.