Bhanot, Karan; Burns, Natasha; Hunter, Delroy; … - In: Journal of Banking & Finance 38 (2014) C, pp. 51-63
We examine the impact of changes in Greek sovereign yield spreads on abnormal returns of financial sector stocks for a sample of Eurozone countries, during the Greek debt crisis. We find that increases in yield spreads are associated with negative abnormal returns on financial stocks in the...