Asymmetric Information in the European Banking Sector? - Abnormal stock returns in connection to information disclosure
(2019) NEKN01 20191Department of Economics
- Abstract
- This thesis investigates the overall market reaction in connection to the stress test and transparency exercise conducted by the European Banking Authority in 2018. For this we apply an event study that adjusts for event clustering, something that is widely neglected in previous literature. This approach has a big impact on decreasing the statistical significance of the results. The results show an existence of stock anomalies in connection to both the stress test and the transparency exercise disclosures, indicating that they provided the market with new information. However, the results are sensitive to the choice of event window. When investigating driving factors to explain the results only weak indications of a higher transparency for... (More)
- This thesis investigates the overall market reaction in connection to the stress test and transparency exercise conducted by the European Banking Authority in 2018. For this we apply an event study that adjusts for event clustering, something that is widely neglected in previous literature. This approach has a big impact on decreasing the statistical significance of the results. The results show an existence of stock anomalies in connection to both the stress test and the transparency exercise disclosures, indicating that they provided the market with new information. However, the results are sensitive to the choice of event window. When investigating driving factors to explain the results only weak indications of a higher transparency for larger banks are found. (Less)
Please use this url to cite or link to this publication:
http://lup.lub.lu.se/student-papers/record/8984025
- author
- Zilling, Jennifer LU and Bernland, Jacob
- supervisor
- organization
- course
- NEKN01 20191
- year
- 2019
- type
- H1 - Master's Degree (One Year)
- subject
- keywords
- abnormal returns, event study, information disclosure, stress test, transparency exercise
- language
- English
- id
- 8984025
- date added to LUP
- 2019-08-08 10:31:02
- date last changed
- 2019-08-08 10:31:02
@misc{8984025, abstract = {{This thesis investigates the overall market reaction in connection to the stress test and transparency exercise conducted by the European Banking Authority in 2018. For this we apply an event study that adjusts for event clustering, something that is widely neglected in previous literature. This approach has a big impact on decreasing the statistical significance of the results. The results show an existence of stock anomalies in connection to both the stress test and the transparency exercise disclosures, indicating that they provided the market with new information. However, the results are sensitive to the choice of event window. When investigating driving factors to explain the results only weak indications of a higher transparency for larger banks are found.}}, author = {{Zilling, Jennifer and Bernland, Jacob}}, language = {{eng}}, note = {{Student Paper}}, title = {{Asymmetric Information in the European Banking Sector? - Abnormal stock returns in connection to information disclosure}}, year = {{2019}}, }