We tested whether the 2010, 2011 and 2014 European Union bank stress tests produced useful and real information to the market. Using an augmented capital asset pricing model, we analyzed the impact of the information disclosures on each stress test (announcement, methodology and results events) on the stock market returns and risk of banks. Our approach allows an integrated analysis, as a sample of 41 banks that participated in all three stress tests was used. The most significant event was the methodology disclosure, in terms of its impact on risk and returns. In contrast, the results events did not have much impact in the stock market when considering the entire sample of banks. On the other hand, after dividing the sample of banks into two groups (those that passed the 2014 European Union stress test vs. those that failed), we observed a significant reaction of the stock markets in both groups. These findings are consistent with the hypothesis that stress tests provide real and valuable information to the markets about the banking system. A significant part of that information is conveyed by announcement and methodology events.

中文翻译：

---

信息的价值：欧盟银行压力测试对股市的影响

我们测试了 2010、2011 和 2014 年欧盟银行压力测试是否为市场提供了有用和真实的信息。我们采用增扩资本资产定价模型，分析了每次压力测试（公告、方法和结果事件）的信息披露对银行股票市场收益和风险的影响。我们的方法允许进行综合分析，因为使用了参与所有三个压力测试的 41 家银行的样本。就其对风险和回报的影响而言，最重要的事件是方法披露。相比之下，在考虑整个银行样本时，结果事件对股市没有太大影响。另一方面，在将银行样本分为两组（通过 2014 年欧盟压力测试的银行与未通过的银行）后，我们观察到两组股票市场的显着反应。这些发现与压力测试为市场提供有关银行系统的真实且有价值的信息的假设一致。该信息的很大一部分是通过公告和方法事件传达的。