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The value of information : the impact of European Union bank stress tests on stock markets
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Orientador(es)
Resumo(s)
We tested whether the 2010, 2011 and 2014 European Union bank stress
tests produced useful and real information to the market. Using an augmented capital
asset pricing model, we analyzed the impact of the information disclosures on each
stress test (announcement, methodology and results events) on the stock market returns
and risk of banks. Our approach allows an integrated analysis, as a sample of 41 banks
that participated in all three stress tests was used. The most significant event was the
methodology disclosure, in terms of its impact on risk and returns. In contrast, the
results events did not have much impact in the stock market when considering the
entire sample of banks. On the other hand, after dividing the sample of banks into two
groups (those that passed the 2014 European Union stress test vs. those that failed), we
observed a significant reaction of the stock markets in both groups. These findings are
consistent with the hypothesis that stress tests provide real and valuable information to
the markets about the banking system. A significant part of that information is
conveyed by announcement and methodology events
Descrição
Palavras-chave
Stress testing Information disclosure Bank capital
Contexto Educativo
Citação
Borges, M. R., Mendes, J. Z. and Pereira, A. (2019). “The value of information : the impact of European Union bank stress tests on stock markets”. International Advances in Economic Research, 25, 429-444. https://doi.org/10.1007/s11294-019-09760-5
Editora
Springer