Suchergebnisse

We examine whether investor mood, driven by World Health Organization (WHO) alerts and media news on dangerous infectious diseases, is priced in pharmaceutical companies' stocks in the United States. We argue that disease-related news (DRNs) should not trigger rational trading. We find that DRNs have a positive and significant sentiment effect among investors (on Wall Street). The effect is stronger (weaker) for small (large) companies, who are less (more) likely to engage in the development of new vaccines. A potential negative investor climate (on Main Street) – induced by disease-related fear – does not alter the positive sentiment effect.

We build upon a Markov-Switching Bayesian Vector Autoregression (MSBVAR) model to study how the credit default swaps market in the euro area becomes an important chain in the propagation of shocks through the entire financial system. The study sheds light on the regime-dependent interconnectedness between the risk of investing in banking and public sector bonds and provides novel evidence that a rise in sovereign debt, due to the countercyclical fiscal policy measures, is perceived by stock market investors as a burden on growth prospects. We also document that government interventions in the banking sector deteriorate the credit risk of sovereign debt. Higher risk premium required by investors for holding riskier government bonds depresses the sovereign debt market, it impairs banks' balance sheets, and it depresses the collateral value of loans leading to bank retrenchment. The ensuing two-way banking-fiscal feedback loop indicates that government interventions do not necessarily stabilize the banking sector.

We examine the effectiveness of non-pharmaceutical government interventions (NPIs) against COVID-19. In particular, we focus on the impact of strictness and variability in government interventions on the reproduction rate () and the number of new deaths (per million of inhabitants) in five different world regions (G7, G20, EU28, Central America and Asia). In line with existing evidence, we observe that more stringent and frequent NPIs contributed to slow down contagion. Unfortunately, no benefits in terms of mortality are found. In fact, with few exceptions, both strictness and variability in NPIs are associated with a rise in the number of new deaths. This evidence is observed to be stronger among advanced economies and over the second pandemic wave. Take together, our research findings advocate early and decisive implementation of NPIs, but gradual and staggered relaxation of NPIs when the pandemic appears to recede.

It is well known that investor sentiment affects aggregate stock returns. We investigate the economic link between sport sentiment and US sectoral stock returns. We find that sport sentiment affects only the financial sector. We argue that this result might be explained by the high liquidity that makes the financial sector more attractive to foreign investors who in turn are more prone to sport sentiment than local investors in the US. Accordingly, an arbitrageur can build a profitable trading strategy by selling short the financial sector during the FIFA World cup periods and buying it back afterwards. (C) 2016 Elsevier Inc. All rights reserved.