Please use this identifier to cite or link to this item: http://hdl.handle.net/10419/130785
Authors: 
Fernandes, Marcelo
Igan, Deniz
Pinheiro, Marcelo
Year of Publication: 
2015
Series/Report no.: 
Working Paper, School of Economics and Finance, Queen Mary University of London 771
Abstract: 
Annual stress tests have become a regular part of the supervisors' toolkit following the global financial crisis. We investigate their capital market implications in the United States by looking at price and trade reactions, information asymmetry and uncertainty indicators, and bank activities. The evidence we present supports the notion that there is important new information in stress tests, especially at times of financial distress. Moreover, public disclosure seem to help reduce informational asymmetries. 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.
Subjects: 
Stress testing
Capital requirements
Public disclosure
Information
JEL: 
G14
G28
G32
Document Type: 
Working Paper

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