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March Madness in Wall Street

(What) Does the Market Learn from Stress Tests?

March Madness in Wall Street by Marcelo Fernandes
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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 seems 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.
International Monetary Fund; December 2015
34 pages; ISBN 9781513530185
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Title: March Madness in Wall Street
Author: Marcelo Fernandes; Deniz Igan; Marcelo Pinheiro