Listening to the Buzz: Social Media Sentiment and Retail Depositors' Trust

Bail‐in rules and the pricing of Italian bank bonds

“…Interestingly, the interaction of Bank Size with Post 2016 highlights that, following the entry into force of the BDDR, large banks issued bonds ensuring, on average, higher spreads (see also Acharya et al, ; Zaghini, ) as the market figures out that the hypothesis of a public implicit guarantee is no longer reliable (Flannery & Sorescu, ) . Furthermore, we find that banks with a lower Tier 1 ratio were forced to pay a higher spread on their bonds, suggesting that retail investors started to pay more attention to this solvency indicator − which is in line with recent findings by Accornero and Moscatelli ()…”

“…Furthermore, although Italian investors are often blamed for lacking adequate financial literacy (see, among others, Bartiloro, ), a study by Accornero and Moscatelli () reveals that at least recently the information regarding the banks’ fundamentals, such as the Tier 1 capital ratio , influences Italian households’ decisions. Similarly, Boccuzzi and De Lisa () document that market discipline was properly working in Italy around the time the BRRD became effective.…”

“…5 A survey conducted by the Italian Bankers' Association (Associazione Bancaria Italiana, ABI) in January 2016 also reveals that several initiatives were adopted to massively inform customers about the switch to the new bail-in regime via, for instance, a specific leaflet enclosed with the monthly/quarterly bank statements, as well as through fliers handed out at bank branches. 6 Furthermore, although Italian investors are often blamed for lacking adequate financial literacy (see, among others, Bartiloro, 2011), a study by Accornero and Moscatelli (2018) reveals that at least recently the information regarding the banks' fundamentals, such as the Tier 1 capital ratio, influences Italian households' decisions. Similarly, Boccuzzi and De Lisa (2017) document that market discipline was properly working in Italy around the time the BRRD became effective.…”

A Sentiment-based Risk Indicator for the Mexican Financial Sector

“…Other papers apply sentiment analysis to Twitter data to measure the condence of the general public in the banking sector. Accornero and Moscatelli (2018) use this approach to create an early-warning indicator targeted at evaluating retail depositors' level of trust. Bruno et al (2018b) build a dictionary to analyze sentiment in Italian texts, while Bruno et al (2018a) apply the same dictionary to tweets about selected Italian banks extracting sentiment indicators and relate them to some banks' nancial variables, nding a positive correlation between them and the sentiment for some of the banks in their sample.…”

“…This may have consequences for the nancial sector or the economy as a whole. For this reason, researchers are developing alternative economic and nancial indicators, based on the analysis of highfrequency unstructured data, especially news or Twitter content (Borovkova et al, 2017;Accornero and Moscatelli, 2018;Angelico et al, 2018).…”