Crisis Sentiment in the U.S. Insurance Sector

Irresberger, Felix; Konig, Fee Elisabeth; Weiß, Gregor N.F.

doi:10.1111/jori.12156

Crisis Sentiment in the U.S. Insurance Sector

Irresberger, Felix; Konig, Fee Elisabeth; Weiß, Gregor N.F.

Authors

Dr Felix Irresberger felix.irresberger@durham.ac.uk
Professor

Fee Elisabeth Konig

Gregor N.F. Weiß

Abstract

We use Internet search volume data to measure idiosyncratic and market‐wide crisis sentiment to explain insurer stock return volatility. We find that market‐level crisis sentiment was a significant predictor of stock return volatility of U.S. insurers between 2006 and 2010. Higher levels of crisis sentiment are associated with higher levels of price uncertainty. This effect is strongest for insurers with less exposure to the adverse effects of the financial crisis. Further, crisis sentiment also affects the cross‐section of movements in insurer stock prices. Our results imply that investors exited insurer stocks mainly due to crisis sentiment rather than a rational assessment of the insurers’ actual exposure to the crisis.

Citation

Irresberger, F., Konig, F. E., & Weiß, G. N. (2017). Crisis Sentiment in the U.S. Insurance Sector. Journal of Risk and Insurance, 84(4), 1295-1330. https://doi.org/10.1111/jori.12156

Journal Article Type	Article
Acceptance Date	Mar 3, 2016
Online Publication Date	Jun 9, 2016
Publication Date	2017-12
Deposit Date	Jul 23, 2020
Publicly Available Date	Jul 24, 2020
Journal	Journal of Risk and Insurance
Print ISSN	0022-4367
Electronic ISSN	1539-6975
Publisher	Wiley
Peer Reviewed	Peer Reviewed
Volume	84
Issue	4
Pages	1295-1330
DOI	https://doi.org/10.1111/jori.12156
Public URL	https://durham-repository.worktribe.com/output/1265677

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Copyright Statement
This is the peer reviewed version of the following article: Irresberger, Felix, Konig, Fee Elisabeth & Weiß, Gregor N.F. (2017). Crisis Sentiment in the U.S. Insurance Sector. Journal of Risk and Insurance 84(4): 1295-1330 which has been published in final form at https://doi.org/10.1111/jori.12156. This article may be used for non-commercial purposes in accordance with Wiley Terms and Conditions for Use of Self-Archived Versions.