Cookies

We use cookies to ensure that we give you the best experience on our website. By continuing to browse this repository, you give consent for essential cookies to be used. You can read more about our Privacy and Cookie Policy.


Durham Research Online
You are in:

Crisis sentiment in the U.S. insurance sector.

Irresberger, Felix and Konig, Fee Elisabeth and Weiß, Gregor N.F. (2017) 'Crisis sentiment in the U.S. insurance sector.', Journal of risk and insurance., 84 (4). pp. 1295-1330.

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.

Item Type:Article
Full text:(AM) Accepted Manuscript
Download PDF
(267Kb)
Status:Peer-reviewed
Publisher Web site:https://doi.org/10.1111/jori.12156
Publisher 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.
Date accepted:03 March 2016
Date deposited:24 July 2020
Date of first online publication:09 June 2016
Date first made open access:24 July 2020

Save or Share this output

Export:
Export
Look up in GoogleScholar