March madness in Wall Street(What) does the market learn from stress tests?

Resumo

Annual stress tests have become a regular part of the supervisors' toolkit following the global financial crisis. We investigate their market implications in the United States by looking at price and trade reactions as well as information asymmetry and uncertainty indicators around the tests, and bank behavior after the tests. The evidence we present supports the notion that there is important new information in stress tests. This is particularly the case during crisis. Moreover, public disclosure appears not to adversely affect informational asymmetries and uncertainties. Importantly, public disclosure of stress test results (and methodology) does not seem to have reduced private incentives to generate information or to have led to distorted incentives.

Ficha do documento

Tipo

Artigo científico

Ano

2015

Instituição

Queen Mary University of London

Fonte

Repositório da FGV

Idioma

Inglês

Acesso

Acesso restrito

DOI

10.1016/j.jbankfin.2017.11.005

Identificador

oai:repositorio.fgv.br:10438/25604

Temas

Dados

Palavras-chave

Capital requirementsInformationPublic disclosureStress testingTeste de estresseStress ocupacionalDivulgação de informaçõesCrise financeira - Aspectos psicológicos