Crisis sentiment in the U.S. insurance sector

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<subfield code="a">Crisis sentiment in the U.S. insurance sector</subfield>
<subfield code="c">Felix Irresberger, Fee Elisabeth König, Gregor N. F. Weif</subfield>
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<subfield code="a">We use Internet search volume data to measure idiosyncratic and marketwide 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. </subfield>
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<subfield code="a">König, Fee Elisabeth</subfield>
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<subfield code="a">Weif, Gregor N.F.</subfield>
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<subfield code="t">The Journal of risk and insurance</subfield>
<subfield code="d">Nueva York : The American Risk and Insurance Association, 1964-</subfield>
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<subfield code="g">04/12/2017 Volumen 84 Número 4 - diciembre 2017 , p. 1295-1330</subfield>
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