We examine the informative value of the 2016 and 2018 supervisory EU stress tests on the basis of bank stocks and Credit Default Swaps’ abnormal returns behavior. Our conclusions are based on results from an event study analysis and from regressions on the determinants of bank stocks’ abnormal returns. The robustness of our results is checked by applying our testing methodology on abnormal returns generated from both a single factor and a five factor Fama–French models. We conclude that the 2018 stress test has been comparatively more informative for investors but only for a sub-group of banks based on sovereign debt-ridden and non-Eurozone countries. The equity Tier I, leverage and profitability ratios are important determinants of abnormal bank stock returns but only for the same sub-group of banks. Non-linear reactions highlight the fact that investors assign varying degrees of importance on the information they get from the stress tested financial ratios. Overall, our results may substantiate an argument that the recent EU stress tests have been calibrated towards revealing the weaknesses of the banking sector of peripheral Eurozone and non-Eurozone countries.

我们基于银行股票和信用违约掉期的异常收益行为，研究了2016年和2018年欧盟监管压力测试的信息价值。我们的结论基于事件研究分析的结果以及对银行股票异常收益决定因素的回归分析。通过将我们的测试方法应用于单因素和五因素Fama-French模型所产生的异常收益，可以检验我们结果的稳健性。我们得出的结论是，2018年的压力测试对投资者而言相对而言更具参考价值，但仅适用于以主权债务缠身和非欧元区国家为基础的部分银行。股本一级，杠杆率和获利率是异常银行股票收益的重要决定因素，但仅对于相同的银行子类别而言。非线性反应凸显了这样一个事实，即投资者对通过压力测试的财务比率获得的信息给予不同程度的重视。总体而言，我们的结果可能证实以下观点：已对最近的欧盟压力测试进行了校准，以揭示欧元区外围国家和非欧元区国家银行业的劣势。