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Banking stress test effects on returns and risks

机译:银行压力测试对退货和风险的影响

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We investigate the effects of the announcement and the disclosure of the clarification, methodology, and outcomes of the U.S. banking stress tests on banks' equity prices, credit risk, systematic risk, and systemic risk. We find evidence that stress tests have moved stock and credit markets following the disclosure of stress test results. We also find that banks' systematic risk, as measured by betas, declined in nearly all years after the publication of stress test results. Our evidence suggests that stress tests affect systemic risk. (C) 2020 The Authors. Published by Elsevier B.V.
机译:我们调查了宣布的影响和披露美国银行压力测试对银行股票价格,信贷风险,系统风险和系统风险的澄清,方法和结果的影响。我们发现证据表明,在披露压力测试结果的情况下,压力测试已移动库存和信用市场。我们还发现银行的系统风险,如贝拉所衡量的,在发表压力测试结果后几年就在近乎全部均下降。我们的证据表明压力测试影响系统性风险。 (c)2020作者。由elsevier b.v出版。

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