Banking stress test effects on returns and risks
研究了美国银行压力测试的公告、方法披露和结果公布对银行股价、信用风险、系统性风险和系统风险的影响，发现压力测试结果公布后股票和信用市场出现变动，银行系统性风险在多数年份下降。
We investigate the effects of the announcement and the disclosure of the clarification, methodology, and outcomes of the U.S. banking stress tests on banks’ equity prices, credit risk, systematic risk, and systemic risk. We find evidence that stress tests have moved stock and credit markets following the disclosure of stress test results. We also find that banks’ systematic risk, as measured by betas, declined in nearly all years after the publication of stress test results. Our evidence suggests that stress tests affect systemic risk.