Sovereign Credit Risk, Banks' Government Support, and Bank Stock Returns around the World
研究了1995至2011年间37个国家银行数据，发现主权信用评级下调对预期获得更强政府支持的银行股票回报有较大负面影响，尤其在政府支持能力更强的发达经济体。
We explore the joint effect of expected government support to banks and changes in sovereign credit ratings on bank stock returns using data for banks in 37 countries between 1995 and 2011. We find that sovereign credit rating downgrades have a large negative effect on bank stock returns for those banks that are expected to receive stronger support from their governments. This result is stronger for banks in advanced economies where governments are better positioned to provide that support. Our results suggest that stock market investors perceive sovereigns and domestic banks as markedly interconnected, partly through government guarantees.