Crisis Sentiment in the U.S. Insurance Sector
利用互联网搜索量数据衡量保险业特有和全市场的危机情绪，发现2006-2010年间市场级危机情绪显著预测美国保险公司股票收益波动，且投资者退出保险股主要源于危机情绪而非理性评估。
Abstract We use Internet search volume data to measure idiosyncratic and market‐wide crisis sentiment to explain insurer stock return volatility. We find that market‐level crisis sentiment was a significant predictor of stock return volatility of U.S. insurers between 2006 and 2010. Higher levels of crisis sentiment are associated with higher levels of price uncertainty. This effect is strongest for insurers with less exposure to the adverse effects of the financial crisis. Further, crisis sentiment also affects the cross‐section of movements in insurer stock prices. Our results imply that investors exited insurer stocks mainly due to crisis sentiment rather than a rational assessment of the insurers’ actual exposure to the crisis.