Durrani, Agha; Ongena, Steven; Marques, Aurea Ponte - 2022
What is the impact of stress tests on bank stock prices? To answer this question we study the impact of the publication … of the EU-wide stress tests in 2014, 2016, 2018, and 2021 on the first (λ) and second (δ) moment of equity … returns. First, we study the effect of the disclosure of stress tests on (cumulative) excess/abnormal returns through a one …