The Information Value of the Stress Test
The Information Value of the Stress Test
复制标题
压力测试的信息价值
DOI：
--
复制
发表时间：
2014
期刊：
影响因子：
--
通讯作者：
Vanessa Savino
中科院分区：
文献类型：
--
作者：
Donald P. Morgan;Stavros Peristiani;Vanessa Savino
我们调查了2009年联邦银行监管机构对美国19家最大的银行控股公司进行的“压力测试”是否为市场提供了有用的信息。使用标准事件研究技术，我们发现，在压力测试结果公布之前，市场在很大程度上已经自行破译了哪些银行将存在资本缺口，但市场是由缺口的大小告知的；考虑到我们对预期缺口的代理，资本缺口较大的银行经历了更多的负异常回报。我们的发现与压力测试提供了有关银行的宝贵信息的观点是一致的。
We investigate whether the “stress test,” the extraordinary examination of the 19 largest U.S. bank holding companies conducted by federal bank supervisors in 2009, produced useful information for the market. Using standard event study techniques, we find that the market had largely deciphered on its own which banks would have capital gaps before the stress test results were revealed, but that the market was informed by the size of the gap; given our proxy for the expected gap, banks with larger capital gaps experienced more negative abnormal returns. Our findings are consistent with the view that the stress tests produced valuable information about banks.
影响因子：
3.7
作者：
Norden, L;Weber, M
通讯作者：
Weber, M