This study examines empirically whether the stock price crash risk of euro area banks’ is affected by crisis sentiment during the period 2004-2020. We introduce a diverse set of crisis sentiment aspects, including communication and investors’ focus of attention to market wide sentiment. We...

This study empirically examines whether the stock price crash risk of euro area banks is affected by crisis sentiment during the period 2004-2020. We introduce a diverse set of crisis sentiment aspects, including communication and investors’ focus of attention to market wide sentiment. We...

Utilizing bank-level data and a Mixed Frequency VAR approach, this study examines the effects of a shock at the economic sentiment on European banks’ profitability during the 1995–2019 period. We find that a greater shock in economic sentiment leads to a persistent and gradually amplified...

The purpose of this study is twofold. First, to construct short-term prediction models for bank deposit flows in the Euro area peripheral countries, employing machine learning techniques. Second, to examine whether textual features enhance the predictive ability of our models. We find that...

This paper provides original evidence on the relation between herd behavior and equity market liquidity, an issue that has been neglected when studying herd behavior towards the consensus. We use equity price data for the G5 markets, and initially we find no evidence of herding. When, however,...

Monetary policy actions (conventional and unconventional) are important events that are expected to affect asset prices, especially during periods of financial turmoil. Although many studies examine their effect on asset prices there is a lack of empirical evidence on their impact on investor...

During the recent financial crisis, numerous EU officials, market participants and the media suggested that irrational herding was a key factor for the financial turmoil and the soaring yield spreads. In this paper we test for evidence of herd behavior in European government bond prices and,...