Market Reactions to the ECB's Comprehensive Assessment

18 Pages Posted: 3 Mar 2015 Last revised: 19 Aug 2015

See all articles by Cenkhan Sahin

Cenkhan Sahin

University of Groningen; Sveriges Riksbank

Jakob de Haan

De Nederlandsche Bank; University of Groningen

Date Written: February 2015

Abstract

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 did not react to the publication of the results of the Comprehensive Assessment. This conclusion also holds for banks with a capital shortfall. Only for banks in some countries do we find weak evidence for (mixed) effects on stock prices, while CDS spreads for German banks declined.

Keywords: ECB Comprehensive Assessment, stress tests, bank equity returns, CDS Spreads

JEL Classification: G21, G28

Suggested Citation

Sahin, Cenkhan and Sahin, Cenkhan and de Haan, Jakob, Market Reactions to the ECB's Comprehensive Assessment (February 2015). De Nederlandsche Bank Working Paper No. 463, Available at SSRN: https://ssrn.com/abstract=2572985 or http://dx.doi.org/10.2139/ssrn.2572985

Cenkhan Sahin (Contact Author)

University of Groningen

P.O. Box 800
9700 AH Groningen, Groningen 9700 AV
Netherlands

Sveriges Riksbank ( email )

Brunkebergstorg 11
SE-103 37 Stockholm
Sweden

Jakob de Haan

De Nederlandsche Bank

PO Box 98
1000 AB Amsterdam
Amsterdam, 1000 AB
Netherlands

University of Groningen

P.O. Box 800
9700 AH Groningen, Groningen 9700 AV
Netherlands

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