European bank stress test and sovereign exposures

Maria Gerhardt and Rudi Vander Vennet

Applied Economics Letters, 2017, vol. 24, issue 14, 972-976

Abstract: We use an event study methodology to revisit the bank stress test conducted by the European Banking Authority in 2011. Instead of only considering the final results disclosure, we consider six key official announcements during the stress test. Our results indicate that abnormal returns reversed over the course of the stress test and that the emerging sovereign crisis contributed to the stock market perception of bank health.

Date: 2017
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DOI: 10.1080/13504851.2016.1243208

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