Skip to main content

LUP Student Papers

LUND UNIVERSITY LIBRARIES

Asymmetric Information in the European Banking Sector? - Abnormal stock returns in connection to information disclosure

Zilling, Jennifer LU and Bernland, Jacob (2019) NEKN01 20191
Department 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:
author
Zilling, Jennifer LU and Bernland, Jacob
supervisor
organization
course
NEKN01 20191
year
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}},
}