Chira, Inga; Madura, Jeff; Viale, Ariel M. - In: Journal of Financial Stability 9 (2013) 4, pp. 451-459
We find that increases in implied market volatility (a proxy for market fear) have a significant impact on returns of …. Large bank returns are favorably affected by increases in implied market volatility during the crisis, while small banks are … adversely affected by increases in implied market volatility. We attribute the different effects among the size-categorized bank …