European bank stress test and sovereign exposures |
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Authors: | Maria Gerhardt |
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Affiliation: | 1. DG ECFIN, European Commission, Brussels, Belgium;2. Ghent University, Ghent, Belgium |
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Abstract: | We use an event study methodology to revisit the bank stress test conducted by the European Banking Authority in 2011. Instead of only considering the final results disclosure, we consider six key official announcements during the stress test. Our results indicate that abnormal returns reversed over the course of the stress test and that the emerging sovereign crisis contributed to the stock market perception of bank health. |
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Keywords: | Bank stress test EBA European banks sovereign exposure event study |
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