Regulatory stress testing and bank performance
研究了2010至2018年美国CCAR和欧洲EBA的12次压力测试结果对银行股价和CDS利差的影响，发现通过测试的银行股价上涨、CDS利差收窄，失败的银行则相反。
Abstract This paper investigates the impact of stress testing results on banks’ equity and CDS performance using a large sample of 12 tests from the US CCAR and the European EBA regimes in the time period from 2010 to 2018. Passing banks experience positive abnormal equity returns and tighter CDS spreads, while failing banks show strong drops in equity prices and widening CDS spreads. We also document strong market reactions at the announcement date of the stress tests. We complement existing studies by investigating the predictability of stress test outcomes and evaluating strategic options for affected banks and investors.