Large Scale Supervisory Assessment of Banks: Where Is the Beef?

39 Pages Posted: 9 Jan 2016 Last revised: 1 May 2016

See all articles by Valter Lazzari

Valter Lazzari

LIUC Università Cattaneo; SDA Bocconi School of Management

Luigi Vena

LIUC - Università Cattaneo

Andrea Venegoni

LIUC Università Cattaneo

Date Written: April 2, 2016

Abstract

It is common practice in the supervision of regulated banks to perform and disclose a simultaneous standardized assessment of their asset quality, organizational effectiveness, strategic viability and resilience to financial turmoil. Investigating the ECB 2014 Comprehensive Assessment and the subject banks’ stock price reactions, we find that this process provides limited assistance to the market in sorting good banks from bad banks. Notwithstanding, the market adjusts to these findings, since it understands that they signal the stance of supervisory policy towards banking activities, which begets the level of regulatory risk and cost for the supervised banks.

Keywords: Stress Test, Banking Supervision, Policy Signaling, Event Study, ECB

JEL Classification: G01, G14, G21, G28

Suggested Citation

Lazzari, Valter and Vena, Luigi and Venegoni, Andrea, Large Scale Supervisory Assessment of Banks: Where Is the Beef? (April 2, 2016). Available at SSRN: https://ssrn.com/abstract=2712521 or http://dx.doi.org/10.2139/ssrn.2712521

Valter Lazzari (Contact Author)

LIUC Università Cattaneo ( email )

Corso Matteotti
Castellanza (VA)
Italy
+39-0331572205 (Phone)

SDA Bocconi School of Management ( email )

Via Bocconi 8
Milan, Milan 20136
Italy
+39-3334993014 (Phone)

Luigi Vena

LIUC - Università Cattaneo ( email )

Corso Matteotti
Castellanza (VA)
Italy

Andrea Venegoni

LIUC Università Cattaneo ( email )

Corso Matteotti
Castellanza (VA)
Italy

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