The thesis analyzes whether the EU-wide stress test 2011 conducted by the European Banking Authority (EBAST2011) revealed any new information to investors about assets (in particular stocks and CDS premiae) of banks’ tested. For the measurement of the effects of EBAST2011 on stocks and CDS premiae the event study approach is applied, using standard econometric tools. An estimation window (3 August 2010 to 16 June 2011) and and seven event window (20 June to 16 August 2011) were defined. In the estimation window, market models for stock returns resp. CDS premium returns are estimated using domestic market indices resp. the i.TRAXX index as independent variables. Coefficients of determination are mostly between the 0.40 – 0.70. Normal returns are predicted for event windows and abnormal returns calculated for all banks. Significance tests are carried out for banks individually, using cumulative abnormal returns (CAR), and for groups of banks, using average cumulative abnormal returns. The time series analysis is supplemented by a cross sectional analysis. An analysis of variance analyzes the volatility of market before and after the publication of the EBAST2011 results. The results of the analysis points to few, if any, significant effects of the EBAST2011 on stock and CDS returns. Changes in Core Tier 1 ratios of banks as a result of the EBAST2011 show some predictive power for stock and CDS returns. The hypothesis, that the EBAST2011 results increased the volatility of stock returns cannot be rejected on the 0.05 probability level.
|Uddannelser||Cand.merc.asc Accounting, Strategy and Control, (Kandidatuddannelse) Afsluttende afhandling|