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.
|Full text:||(AM) Accepted Manuscript|
Available under License - Creative Commons Attribution Non-commercial No Derivatives.
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|Publisher Web site:||https://doi.org/10.1016/j.jbankfin.2015.06.001|
|Publisher statement:||© 2015 This manuscript version is made available under the CC-BY-NC-ND 4.0 license http://creativecommons.org/licenses/by-nc-nd/4.0/|
|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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