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dc.contributor.author
Tsiouris, Nikolaos
en
dc.date.accessioned
2016-05-11T12:28:33Z
dc.date.available
2016-05-12T00:00:22Z
dc.date.issued
2016-05-11
dc.identifier.uri
https://repository.ihu.edu.gr//xmlui/handle/11544/14528
dc.rights
Default License
dc.title
EU-wide stress testing announcement: The reaction of stock returns
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heal.type
masterThesis
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heal.secondaryTitle
The reaction of stock returns
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heal.creatorID.email
n.tsiouris@ihu.edu.gr
heal.generalDescription
This Thesis gives a thorough look on how stocks of stress tested institutions are affected by the announcement of the test results.
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heal.classification
Economics
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heal.keywordURI.LCSH
Banks and banking
heal.keywordURI.LCSH
Banks and banking--Risk management.
heal.keywordURI.LCSH
Bank management
heal.keywordURI.LCSH
Basle Committee on Banking Supervision
heal.keywordURI.LCSH
Bank capital
heal.keywordURI.LCSH
Credit--Management
heal.keywordURI.LCSH
Banks and banking, International--State supervision
heal.keywordURI.LCSH
Banks and banking, International--Risk management
heal.language
en
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heal.access
free
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heal.license
http://creativecommons.org/licenses/by-nc/4.0
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heal.references
Armitage, S. (1995). Event Study Methods and Evidence on Their Performance. Journal of Economic Surveys , 8 (4), 25 – 52. Balin, B. J. (2008). Basel I , Basel II , and Emerging Markets : A Nontechnical Analysis . Washington, DC. Basel, C. on B. S. (2006). Basel Committee on Banking Supervision International Convergence of Capital Measurement and Capital Standards . basel,Switzerland. Beer, F. M. (1 993). Dividend Signalling Equilibria : Quantitative Evidence From The Brussels Stock Exchange. The Financial Review , 28 (2), 139 – 157. Bhana, N. (2008). The market reaction to cap ital expenditure announcements. Investment Analysts Journal , (68), 53 – 64. Binde r, J. (1998). The Event Study Methodology Since 1969. Review of Quantitative Finance and Accounting , 11 , 111 – 137. 24 Bowman, R. G. (1983). Understanding and Conducting Event Studies. Journal of Business Finance & Accounting , 4 (10), 561 – 584. Brown, S., & Warne r, J. (1985). Using Daily Stock Returns. Journal of Financial Economics , 14 , 3 – 31. Burton, B. M., Lonie, A., & David, M. (1999). The Stock Market Reaction to Investment Announcements : The Case of Individual Capital Expenditure Projects. Journal of Business Finance & Accounting , 26 (July 1998), 681 – 708. Cardinali, A., & Nordmark, J. (2011). How informative ar e bank stress tests ?Bank opacity in the European Union . Lund University. Drehmann, M. (2008) Stress tests : Objectives , challenges and modelling choices. Economics Review , 2 (June 2007), 60 – 92. Easton, P. D., & Harris, T. S. (1991). Earnings as an Explana tory Variable for Returns, 29 (1), 19 – 36. Fama, E. F., Fisher, L., Jensen, M. C., & Roll, R. (1969). The Adjustment of Stock Prices to New Information. International Economic Review , 10 (1), 1 – 21. Gunasekarage, A., & Power, D. M. (2002). The post - announcemen t performance of dividend - changing companies: The dividend - signalling hypothesis revisited. Accounting and Finance , 42 (2), 131 – 151. MacKinlay, C. (1997). Event Studies in Economics and Finance. Journal of Economic Literature , 35 (March), 13 – 39. Mc Williams, A., & Siegel, D. (1997). Event Studies in Management Research : Theoretical and Empirical Issues. The Academy of Management Journal , 40 (3), 626 – 657. Neuhierl, A., Scherbina, A., & Davis, U. C. (2013). Market Reaction to Corporate Press Releases. Journal o f Financial and Quantitative Analysis , 48 (4), 1207 – 1240
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heal.fileFormat
pdf
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heal.recordProvider
School of Economics, Business Administration and Legal Studies, MSc in Banking and Finance
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heal.publicationDate
2015-10-31
heal.abstract
This dissertation was written as part of the MSc in Banking & Finance at the In ternational Hellenic University. A bank stress test is an analysis performed under extreme economic scenarios which is planned to investigate whether the institution has enough capital to cope with the impact of various economic abnormalities in the financial system. The main pur pose of this study is to find out the impact that the 2014 stress test results’ an nouncement, conducted by the European Banking Authority (EBA), has on the stock returns of the tested banking institutions. The first concern was to clearly set the scene of the stress test procedure by illustrating some vital aspects regarding the roots of this process, the mechanics behind that, the objectives and generally all the factors that lead the regulatory authorities perform this type of analysis. In order to have measurable outcomes that could help me precisely estimate the impact of the announcement I employed the standard event study methodology. I firstly defined the event of interest along with the estimation and event window. Moreover, I set the selection criteria so as to have the final sample and then moved to the estimation of the normal and abnormal returns. After calculating the Average Ab normal Return (AAR) and Cumulative Average Abnormal Return (CAAR) I assessed whether the estimated t-statistic values are statistically significant or not. This study was formed under the supervision of Professor Nikos Nomikos. His valuable guidelines, comments and corrections helped me finish my dissertation in the time allotted. Keywords
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heal.tableOfContents
Contents ABSTRACT ...............................................................................................................IV 1. INTRODUCTION .................................................................................................... 1 1.1 THE ROLE OF STRESS TESTING FOR THE BANKING SYSTEM..................................................... 2 1.2 OBJECTIVES OF STRESS TESTS......................................................................................... 2 1.3 THE BASEL ACCORD REGULATORY FRAMEWORK ................................................................ 4 1.3.1. BASEL I ........................................................................................................ 4 1.3.2. BASEL II ....................................................................................................... 6 1.3.3. BASEL III ...................................................................................................... 7 1.4 EU-WIDE STRESS TESTING OVERVIEW ............................................................................. 8 2. LITERATURE REVIEW .......................................................................................... 11 3. DATA AND METHODOLOGY ................................................................................ 14 3.1 EVENT DEFINITION.................................................................................................... 14 3.2 SELECTION CRITERIA ................................................................................................. 15 3.3 NORMAL AND ABNORMAL RETURNS ............................................................................ 15 3.4 ESTIMATION PROCEDURE ........................................................................................... 17 3.5 TESTING PROCEDURE ................................................................................................ 18 4. EMPIRICAL RESULTS ........................................................................................... 19 5. CONCLUSION ...................................................................................................... 21 BIBLIOGRAPHY ....................................................................................................... 23 APPENDIX ................................................................................................................ 1
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heal.advisorName
Nomikos, Nikolaos
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heal.committeeMemberName
Nomikos, Nikolaos
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heal.committeeMemberName
Sikalidis, Alexandros
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heal.committeeMemberName
Archontakis, Fragiskos
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heal.academicPublisher
IHU
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heal.academicPublisherID
ihu
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heal.numberOfPages
35
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heal.spatialCoverage
Greece
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heal.temporalCoverage
2015
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