Economics at your fingertips  

Have FSRs got news for you? Evidence from the impact of Financial Stability Reports on market activity

Richard Harris (), Veselin Karadotchev (), Rhiannon Sowerbutts and Evarist Stoja ()
Additional contact information
Richard Harris: Xfi Centre for Finance and Investment, University of Exeter
Veselin Karadotchev: Bank of England, Postal: Bank of England, Threadneedle Street, London, EC2R 8AH
Evarist Stoja: School of Economics, Finance and Management, University of Bristol

No 792, Bank of England working papers from Bank of England

Abstract: We investigate the impact that the publication of the Bank of England’s Financial Stability Report (FSR) has on the stock returns and credit default swap spreads of UK financial institutions. Examining a sample of 73 UK-listed banks and other financial institutions, we find that publication of the FSR is, on average, associated with no abnormal returns. We extend our analysis to examine the extent to which policies and the sentiment in the FSR are predictable, which would explain the observed lack of abnormal returns. We find that both sentiment and announced policies are predictable. We also examine the extent to which the release of the FSR reduces information asymmetry in financial markets, but do not find strong evidence.

Keywords: Event studies; Financial Stability Reports; central bank communication; market reaction. (search for similar items in EconPapers)
JEL-codes: G14 G18 G21 G22 G23 G24 (search for similar items in EconPapers)
New Economics Papers: this item is included in nep-ban and nep-cba
Date: 2019-04-18
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link) ... got-news-for-you.pdf Full text (application/pdf)

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:

Access Statistics for this paper

More papers in Bank of England working papers from Bank of England Bank of England, Threadneedle Street, London, EC2R 8AH. Contact information at EDIRC.
Bibliographic data for series maintained by Digital Media Team ().

Page updated 2019-09-20
Handle: RePEc:boe:boeewp:0792