Evaluating the information in the federal reserve stress tests

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• 作者：Mark Flannery^a ; ¹ ; Beverly Hirtle^b ; ² ; Anna Kovner^b ; ² ; ^{anna.kovner@ny.frb.org} ; ^{akovner@yahoo.com}
• 关键词：Stress testing ; Banking ; Financial crises ; Disclosure ; Information asymmetry
• 刊名：Journal of Financial Intermediation
• 出版年：2017
• 出版时间：January 2017
• 年：2017
• 卷：29
• 期：Complete
• 页码：1-18
• 全文大小：684 K
• 卷排序：29

文摘

We present evidence that the Federal Reserve stress tests produce information about both the stress-tested bank holding companies and the overall state of the banking industry. Our evidence goes beyond a standard event study, which cannot differentiate between small abnormal returns and large, but opposite-signed, abnormal stock returns. We find that stress test disclosures are associated with significantly higher absolute abnormal returns, as well as higher abnormal trading volume. More levered and riskier holding companies seem to be more affected by the stress test information. We find no evidence that stress test disclosures have reduced the production of private information. After disclosure begins, stress tested firms attract equity analysts without changing analysts’ forecast dispersions or their mean forecast error.