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Market reactions to the ECB’s Comprehensive Assessment

Listed author(s):
  • Sahin, Cenkhan
  • de Haan, Jakob

Using an event study approach, we examine financial markets’ reactions to the publication of the ECB’s Comprehensive Assessment of banks in the euro area. Our results suggest that banks’ stock market prices and CDS spreads generally showed no reaction.

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File URL: http://www.sciencedirect.com/science/article/pii/S0165176515005200
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Article provided by Elsevier in its journal Economics Letters.

Volume (Year): 140 (2016)
Issue (Month): C ()
Pages: 1-5

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Handle: RePEc:eee:ecolet:v:140:y:2016:i:c:p:1-5
DOI: 10.1016/j.econlet.2015.12.011
Contact details of provider: Web page: http://www.elsevier.com/locate/ecolet

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  1. Fratianni, Michele & Marchionne, Francesco, 2013. "The fading stock market response to announcements of bank bailouts," Journal of Financial Stability, Elsevier, vol. 9(1), pages 69-89.
  2. Aarstad Jarle, 2014. "Structural Holes and Entrepreneurial Decision Making," Entrepreneurship Research Journal, De Gruyter, vol. 4(3), pages 1-16, July.
  3. James W. Kolari & Seppo Pynnönen, 2010. "Event Study Testing with Cross-sectional Correlation of Abnormal Returns," Review of Financial Studies, Society for Financial Studies, vol. 23(11), pages 3996-4025, November.
  4. Amici, Alessandra & Fiordelisi, Franco & Masala, Francesco & Ricci, Ornella & Sist, Federica, 2013. "Value creation in banking through strategic alliances and joint ventures," Journal of Banking & Finance, Elsevier, vol. 37(5), pages 1386-1396.
  5. Acharya, Viral V. & Steffen, Sascha, 2014. "Making sense of the comprehensive assessment," SAFE Policy Letters 32, Goethe University Frankfurt, Research Center SAFE - Sustainable Architecture for Finance in Europe.
  6. De Groen, Willem Pieter, 2014. "Was the ECB’s Comprehensive Assessment up to standard?," CEPS Papers 9795, Centre for European Policy Studies.
  7. A. Craig MacKinlay, 1997. "Event Studies in Economics and Finance," Journal of Economic Literature, American Economic Association, vol. 35(1), pages 13-39, March.
  8. Acharya, Viral V. & Steffen, Sascha, 2014. "Falling short of expectations? Stress-testing the European banking system," CEPS Papers 8803, Centre for European Policy Studies.
  9. Elyasiani, Elyas & Mester, Loretta J. & Pagano, Michael S., 2014. "Large capital infusions, investor reactions, and the return and risk-performance of financial institutions over the business cycle," Journal of Financial Stability, Elsevier, vol. 11(C), pages 62-81.
  10. Donald P. Morgan & Stavros Peristiani & Vanessa Savino, 2014. "The Information Value of the Stress Test," Journal of Money, Credit and Banking, Blackwell Publishing, vol. 46(7), pages 1479-1500, October.
  11. Petrella, Giovanni & Resti, Andrea, 2013. "Supervisors as information producers: Do stress tests reduce bank opaqueness?," Journal of Banking & Finance, Elsevier, vol. 37(12), pages 5406-5420.
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