This paper tests how capital markets value the international diversification of banks in good and in bad economic times by investigating changes in domestic and foreign sovereign debt ratings before and during the European sovereign debt crisis. Tracing 320 European banks in 29 countries and 226 credit rating announcements for European sovereigns between 1 January 2001 and 15 August 2012, we show that the market values banks with access to foreign funds. Despite occasional adverse effects immediately following negative news regarding sovereign credit rating changes, international diversification was found to be beneficial to European banks, especially during periods of distress.

中文翻译：

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国际多元化的困境：来自欧洲主权债务危机的证据

本文通过调查欧洲主权债务危机发生之前和之中和之后的国内外主权债务评级变化，来测试资本市场如何评估银行在经济繁荣和不利时期的国际多元化。在2001年1月1日至2012年8月15日期间，我们追踪了29个国家的320家欧洲银行和226项针对欧洲主权国家的信用评级公告，结果表明，市场对拥有外国资金的银行进行了估值。尽管主权信用评级变化的负面消息传出后，偶尔会产生不利影响，但国际多元化仍被发现对欧洲银行有利，特别是在困境时期。