Ahnert, Lukas; Vogt, Pascal; Vonhoff, Volker; Weigert, … - 2020 - This version: April, 2020
This paper investigates the impact of stress testing results on bank's equity and CDS performance using a large sample of twelve tests from the US CCAR and the European EBA regimes in the time period from 2010 to 2018. We find that passing banks experience positive abnormal equity returns and...