Bank Stock Volatility, News and Asymmetric Information in Banking: An Empirical Investigation

Posted: 1 Apr 2005

See all articles by Amine Tarazi

Amine Tarazi

University of Limoges - Faculty of Law and Economic Science

Celine Crouzille

Independent

Laetitia Lepetit

University of Limoges - Laboratoire d'Analyse et de Prospectives Économiques (LAPE)

Abstract

The main objective of this paper is to empirically assess the issue of asymmetric information in banking within a framework based on the behavior 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: Volatility, banking, asymmetric information, bank risk, event study

JEL Classification: G14, G21

Suggested Citation

Tarazi, Amine and Crouzille, Celine and Lepetit, Laetitia, Bank Stock Volatility, News and Asymmetric Information in Banking: An Empirical Investigation. Available at SSRN: https://ssrn.com/abstract=681081

Amine Tarazi (Contact Author)

University of Limoges - Faculty of Law and Economic Science ( email )

5 rue Felix Eboue
Limoges, 87000
France

Celine Crouzille

Independent ( email )

Laetitia Lepetit

University of Limoges - Laboratoire d'Analyse et de Prospectives Économiques (LAPE) ( email )

5 rue Felix Eboue
BP 3127
Limoges Cedex 1, 87031
France
+33555149213 (Phone)

HOME PAGE: http://www.unilim.fr/lape/

Here is the Coronavirus
related research on SSRN

Paper statistics

Abstract Views
1,184
PlumX Metrics