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

Céline Meslier-Crouzille (), Laetitia Lepetit and Amine Tarazi
Additional contact information
Céline Meslier-Crouzille: LAPE - Laboratoire d'Analyse et de Prospective Economique - GIO - Gouvernance des Institutions et des Organisations - UNILIM - Université de Limoges
Authors registered in the RePEc Author Service: Celine Meslier Crouzille ()

Post-Print from HAL

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.

Keywords: bank risk; event study; volatility; banking; asymmetric information (search for similar items in EconPapers)
Date: 2004-10-01
References: Add references at CitEc
Citations: View citations in EconPapers (7)

Published in Journal of Multinational Financial Management, 2004, 14 (4-5), pp.443-461. ⟨10.1016/j.mulfin.2004.03.004⟩

There are no downloads for this item, see the EconPapers FAQ for hints about obtaining it.

Related works:
Journal Article: Bank stock volatility, news and asymmetric information in banking: an empirical investigation (2004)
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:hal:journl:hal-00801229

DOI: 10.1016/j.mulfin.2004.03.004

Access Statistics for this paper

More papers in Post-Print from HAL
Bibliographic data for series maintained by CCSD ().