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Article dans une revue

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

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.
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https://hal-unilim.archives-ouvertes.fr/hal-00801229
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Soumis le : vendredi 15 mars 2013 - 13:17:52
Dernière modification le : vendredi 6 mars 2020 - 02:05:58

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Céline Meslier-Crouzille, Laetitia Lepetit, Amine Tarazi. Bank stock volatility, news and asymmetric information in banking: an empirical investigation. Journal of Multinational Financial Management, Elsevier, 2004, 14 (4-5), pp.443-461. ⟨10.1016/j.mulfin.2004.03.004⟩. ⟨hal-00801229⟩

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