Glasserman, Paul; Wang, Zhenyu - In: Management Science 57 (2011) 7, pp. 1195-1211
the program. We also find that the net value varies widely across banks. We compare our estimates with abnormal stock … price returns for the stress test banks at the time the terms of the CAP were announced; we find correlations between 0 ….78 and 0.85, depending on the precise choice of period and set of banks included. These results suggest that our valuation …