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Bank stock volatility, news and asymmetric information in banking: an empirical investigation

Author

Listed:
  • Céline Meslier-Crouzille

    () (LAPE - Laboratoire d'Analyse et de Prospective Economique - IR SHS UNILIM - Institut Sciences de l'Homme et de la Société - UNILIM - Université de Limoges)

  • Laetitia Lepetit

    () (LAPE - Laboratoire d'Analyse et de Prospective Economique - IR SHS UNILIM - Institut Sciences de l'Homme et de la Société - UNILIM - Université de Limoges)

  • Amine Tarazi

    () (LAPE - Laboratoire d'Analyse et de Prospective Economique - IR SHS UNILIM - Institut Sciences de l'Homme et de la Société - UNILIM - Université de Limoges)

Abstract

The main objective of this paper is to empirically assess the issue of asymmetric information in banking within a framework based on the behaviour of bank stock prices. Following an event-study methodology for a sample of European listed banks during the Asian and Russian crises of 1997 and 1998, our results show that unexpected increases in bank stock volatility cannot be easily detected using standard proxies of bank asymmetric information derived from public data. Nevertheless, some indicators, particularly those based on the residuals of an earnings prediction model as suggested by Park [Journal of Regulatory Economics 16 (1999)], perform relatively well.

Suggested Citation

  • Céline Meslier-Crouzille & Laetitia Lepetit & Amine Tarazi, 2004. "Bank stock volatility, news and asymmetric information in banking: an empirical investigation," Post-Print hal-00801229, HAL.
  • Handle: RePEc:hal:journl:hal-00801229
    DOI: 10.1016/j.mulfin.2004.03.004
    Note: View the original document on HAL open archive server: https://hal-unilim.archives-ouvertes.fr/hal-00801229
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    References listed on IDEAS

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    Citations

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    Cited by:

    1. Isabelle Distinguin & Philippe Rous & Amine Tarazi, 2006. "Market Discipline and the Use of Stock Market Data to Predict Bank Financial Distress," Journal of Financial Services Research, Springer;Western Finance Association, vol. 30(2), pages 151-176, October.
    2. repec:rom:mancon:v:11:y:2017:i:1:p:652-659 is not listed on IDEAS
    3. repec:aio:fpvfcf:v:1:y:2017:i:19:p:153-157 is not listed on IDEAS
    4. Ngongang, Elie, 2012. "Econometric Analysis of the Impact of Financial Variables on Investment Behavior in Sub-Saharan African (SSA) Countries," Review of Applied Economics, Review of Applied Economics, vol. 8(1).
    5. Jens Forssbæck, 2011. "Divergence of risk indicators and the conditions for market discipline in banking," SUERF Studies, SUERF - The European Money and Finance Forum, number 2011/4.
    6. Forssbæck, Jens, 2011. "Ownership structure, market discipline, and banks' risk-taking incentives under deposit insurance," Journal of Banking & Finance, Elsevier, vol. 35(10), pages 2666-2678, October.
    7. Laetitia Lepetit & Céline Meslier-Crouzille & Leo Indra Wardhana, 2015. "Do Asymmetric Information and Ownership Structure Matter for Dividend Payout Decisions? Evidence from European Banks," Working Papers hal-01186722, HAL.

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