Details

Autor(en) / Beteiligte

• Irresberger, Felix
• Mühlnickel, Janina
• Weiß, Gregor N.F.

Titel

Explaining bank stock performance with crisis sentiment

Ist Teil von

• Journal of banking & finance, 2015-10, Vol.59, p.311-329

Ort / Verlag

Amsterdam: Elsevier B.V

Erscheinungsjahr

2015

Link zum Volltext

Quelle

Elsevier ScienceDirect Journals Complete

Beschreibungen/Notizen

• 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.