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Applied Economics Volume 47, 2015 - Issue 12
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Original Articles

Do stress tests matter? A study on the impact of the disclosure of stress test results on European financial stocks and CDS markets

Carlos AlvesCEF.UP, Faculdade de Economia da Universidade do Porto, 4200-464Porto, Portugal;CMVM-Portuguese Securities Commission, 1050-138, LISBOA, Portugal
,
Victor MendesCMVM-Portuguese Securities Commission, 1050-138, LISBOA, Portugal;CEFAGE-UE, Universidade de Évora, 7000-803, Évora, PortugalCorrespondence[email protected]
&
Paulo Pereira da SilvaCMVM-Portuguese Securities Commission, 1050-138, LISBOA, Portugal
Pages 1213-1229 | Published online: 06 Jan 2015

Citations (13)

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Laivi Laidroo. (2022) Capturing the ‘true’ information content of supervisory announcements in Europe. The European Journal of Finance 28:18, pages 1917-1939.
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Articles from other publishers (12)

Pilar Abad, M.-Dolores Robles & Carlos Alonso Orts. (2023) Stress testing programs and credit risk opacity of banks: USA vs Europe. Journal of International Financial Markets, Institutions and Money 89, pages 101876.
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FAUSTO PACICCO, LUIGI VENA & ANDREA VENEGONI. (2022) MACROPRUDENTIAL SUPERVISION AND AGENTS’ INFORMATION: WHAT STRESS TESTS REALLY TELL THE MARKETS. Journal of Financial Management, Markets and Institutions 09:02.
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Christoph J. Börner & Jonas Krettek. (2021) The ECB’s 2019 Liquidity Stress Test: An Event Study Evaluating the Impact on Owners and Creditors. Credit and Capital Markets – Kredit und Kapital 54:2, pages 223-263.
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Amavi S. S. Agbodji, Emmanuelle Nys & Alain Sauviat. (2020) Do CDS Maturities Matter in the Evaluation of the Information Content of Regulatory Banking Stress Tests? Evidence from European and US Stress Tests. Revue économique Vol. 72:1, pages 65-102.
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Lukas Ahnert, Pascal Vogt, Volker Vonhoff & Florian Weigert. (2020) Regulatory stress testing and bank performance. European Financial Management 26:5, pages 1449-1488.
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Nadine Gatzert & Dinah Heidinger. (2019) An Empirical Analysis of Market Reactions to the First Solvency and Financial Condition Reports in the European Insurance Industry. Journal of Risk and Insurance 87:2, pages 407-436.
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Maria Rosa Borges, José Zorro Mendes & André Pereira. (2019) The Value of Information: The Impact of European Union Bank Stress Tests on Stock Markets. International Advances in Economic Research 25:4, pages 429-444.
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Shaen Corbet & Charles Larkin. (2017) Has the uniformity of banking regulation within the European Union restricted rather than encouraged sectoral development?. International Review of Financial Analysis 53, pages 48-65.
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Paul Konietschke, Steven Ongena & Aurea Ponte Marques. (2022) Stress Tests and Capital Requirement Disclosures: Do They Impact Banks’ Lending and Risk-Taking Decisions?. SSRN Electronic Journal.
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James W. Kolari & Ivan Sanz. (2022) Forecasting Bank Capital Ratios Using the Prophet Model by Facebook. SSRN Electronic Journal.
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Lukas Ahnert, Pascal Vogt, Volker Vonhoff & Florian Weigert. (2018) The Impact of Regulatory Stress Testing on Bank's Equity and CDS Performance. SSRN Electronic Journal.
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Nadine Gatzert & Dinah Heidinger. (2018) An Empirical Analysis of Market Reactions to the First Solvency and Financial Condition Reports in the European Insurance Industry. SSRN Electronic Journal.
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