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.
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.
|Full text:||(AM) Accepted Manuscript|
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|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|
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