Sentiment and stock prices: The case of aviation disasters

• 成果类型: Article
• 署名作者: Kaplanski, Guy; Levy, Haim
• 署名单位: Bar Ilan University; Hebrew University of Jerusalem
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2009.10.002
• 发表日期: 2010
• 页码: 174-201
• 关键词: Event effect; Reversal effect; market sentiment; behavioral finance; disasters

摘要

Behavioral economic studies reveal that negative sentiment driven by bad mood and anxiety affects investment decisions and may hence affect asset pricing. In this study we examine the effect of aviation disasters on stock prices. We find evidence of a significant negative event effect with an average market loss of more than $60 billion per aviation disaster, whereas the estimated actual loss is no more than $1 billion. In two days a price reversal occurs. We find the effect to be greater in small and riskier stocks and in firms belonging to less stable industries. This event effect is also accompanied by an increase in the perceived risk: implied volatility increases after aviation disasters without an increase in actual volatility. (C) 2009 Elsevier B.V. All rights reserved.