Title
Short term stock market effects of the disclosure of the second European stress test results
Author
Faculty/Department
Faculty of Applied Economics
Publication type
article
Publication
: ,
Subject
Economics
Source (journal)
International Research Journal of Applied Finance. - Place of publication unknown
Volume/pages
3(2012) :3 , p. 376-394
ISSN
2229-6891
vabb
c:vabb:329126
Carrier
E
Target language
English (eng)
Affiliation
University of Antwerp
Abstract
Despite the criticisms raised in the financial press vis-à-vis the credibility of the second European stress test, the disclosure of the results brought a higher degree of transparency to the market regarding the risk exposures of major financial institutions/groups that were within the tests scope. It rewarded the shareholders with an average abnormal return of 4.68% on July 26, 2010. The cumulative abnormal return over the week after the announcement was 5.31%. The aim of stabilizing the financial system was only modestly achieved. Although cross-sectional volatility significantly decreased, the decline in the time series volatilities was less profound. To a large extent, the cumulative abnormal returns can be explained by the data disclosed by the CEBS. Results show that the market held a much more pessimistic view on the risk sensitivity of the institutions that were put at stress.
E-info
http://irjaf.com/Current_Issue.html
Handle