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Explaining bank stock performance with crisis sentiment.

Irresberger, Felix and Mühlnickel, Janina and Weiß, Gregor N. F. (2015) 'Explaining bank stock performance with crisis sentiment.', Journal of banking and finance., 59 . pp. 311-329.


Using search volume data on crisis-related queries from Google Trends, we estimate three different measures of market-level and individual crisis sentiment. We find that the stock performance of international banks during the period Q1 2004 to Q4 2012 was significantly driven by investors’ irrational market-wide crisis sentiment. Our empirical analysis shows that irrational market-wide crisis sentiment leads investors to devalue bank stocks irrespective of idiosyncratic or macroeconomic fundamentals. Comparing this finding with results for a sample of non-financial companies, we find evidence in support of the notion that the effect of crisis sentiment on stock returns is strongest in the absence of implicit bailout guarantees.

Item Type:Article
Full text:(AM) Accepted Manuscript
Available under License - Creative Commons Attribution Non-commercial No Derivatives.
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Publisher statement:© 2015 This manuscript version is made available under the CC-BY-NC-ND 4.0 license
Date accepted:04 June 2015
Date deposited:24 July 2020
Date of first online publication:02 July 2015
Date first made open access:24 July 2020

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