Stress tests and loan pricing—Evidence from syndicated loans

Luisa Lambertini and Abhik Mukherjee

Finance Research Letters, 2022, vol. 46, issue PA

Abstract: This paper estimates the impact of stress-testing on lending spreads. We use firm-level data on syndicated loans matched with bank holding company (BHC) data in our panel regressions. Using a difference-in-difference framework, we find: (1) BHCs that failed the stress tests increased their loan pricing; (2) Loan pricing is higher for all BHCs after the commencement of the stress tests. These findings suggest that stress-test failure leads to higher spreads in the syndicated loan market after the great financial crisis.

Keywords: Bank stress tests; Loan price; Syndicated loans; SCAP; CCAR (search for similar items in EconPapers)
JEL-codes: E44 G01 G28 G38 (search for similar items in EconPapers)
Date: 2022
References: View references in EconPapers View complete reference list from CitEc
Citations:

Downloads: (external link)
http://www.sciencedirect.com/science/article/pii/S1544612321003226
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:eee:finlet:v:46:y:2022:i:pa:s1544612321003226

DOI: 10.1016/j.frl.2021.102349

Access Statistics for this article

Finance Research Letters is currently edited by R. Gençay

More articles in Finance Research Letters from Elsevier
Bibliographic data for series maintained by Catherine Liu ().