Purpose

This paper aims to investigate how stockholders and bondholders react to the information disclosed on the financial markets during crisis periods. This paper considers the 2011 European Banking Authority’s stress test as it disclosed detailed information about banks.

Design/methodology/approach

It was conducted during the European sovereign debt crisis, and this paper uses an event study methodology. This paper analyzes the average cumulative abnormal returns for different subsamples of banks. This paper compares the reactions of stockholders and bondholders to the stress test by considering pre-results announcements (signal generating process) to the publication of the results on the disclosure date, using quantitative data for each individual bank that participated in the stress test (the signal provided to the financial market).

Findings

This paper finds that stockholders’ reaction is more sensitive to idiosyncratic components of the disclosed information, whereas bondholders are more influenced by systematic risk. A deeper investigation shows that subordinated bondholders tend to behave quite similarly to stockholders. This specific reaction of stockholders during financial distress may make them more likely than bondholders to impose market discipline during troubled periods.

Originality/value

This paper brings several new insights to the behavior of stock and bond holders during times of financial distress and makes recommendations to regulators that may serve to refine communication to markets to reduce the shock of negative news.

中文翻译：

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危机时期银行股东与银行债券持有人的市场纪律：基于监管压力测试信息披露的调查

目的

本文旨在调查股东和债券持有人如何对危机期间金融市场上披露的信息做出反应。本文考虑了 2011 年欧洲银行管理局的压力测试，因为它披露了有关银行的详细信息。

设计/方法/方法

它是在欧洲主权债务危机期间进行的，本文采用事件研究方法。本文分析了银行不同子样本的平均累积异常收益。本文通过考虑业绩前公告（信号产生过程）到披露日业绩公布，使用参与压力测试的每家银行的量化数据（提供给金融市场的信号）。

发现

本文发现，股东的反应对所披露信息的特殊成分更为敏感，而债券持有人则更受系统性风险的影响。更深入的调查表明，次级债券持有人的行为往往与股东非常相似。股东在财务困境期间的这种特殊反应可能使他们比债券持有人更有可能在困境期间强加市场纪律。

原创性/价值

本文为股票和债券持有人在财务困境期间的行为提供了一些新见解，并向监管机构提出建议，以改善与市场的沟通，以减少负面新闻的冲击。