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Table 2. Financial market reaction to the Comprehensive Assessment All No-gap Gap GIIPS No-GIIPS Stock market Announcement -2.442 -3.240 -.9701 -2.740 -1.508 Results -.2029 .2038 -.9538 -.6992 .1652 CDS market Announcement -.6354 .0455 -3.359 .3774 -1.648 Results -5.264 -1.981 -18.40 -8.384 -2.146 Notes: This table shows the average cumulative abnormal returns for all, no-gap, gap, GIIPS, and No- GIIPS banks in the stock market (in %) and the CDS market (in bp) in response to the announcement of the Comprehensive Assessment and the publication of its outcomes using an events window of (-1, +1). The average reaction of spreads for the CDS market for GIIPS countries excludes Greece, as no CDS data is available for these banks. The No-GIIPS countries are BE, FR, and DE for stocks and BE, FR, DE, NL, and LU for spreads. This composition is determined by data availability. None of the figures reported is statistically significant based on corrected t-statistics. 14
Table 3. Financial market reaction to the Comprehensive Assessment on a country level: stock markets Country Event (-1, +1) (-2, +2) (-3, +3) (-7, +7) AT Announcement -1.187 -2.476 -3.287*** .6167 Results 7.707** 4.638 5.501*** 5.096*** BE Announcement -2.784** 6.279 -6.811 -4.009 Results -1.838 -4.551** -3.584 -13.55* CY Announcement -4.842 4.520 1.267 25.45*** Results -1.312 -.5165 -2.291 -21.49*** DE Announcement -1.240 -2.175 -3.908** .2720 Results 1.279 .2866 1.782 2.120 ES Announcement -1.369 -3.200 -7.321* -5.688 Results .8547 -4.030 -4.859 -10.03* FR Announcement -.7685 -4.186*** -6.269*** -5.052*** Results -.0591 -2.593** -4.835*** -5.939*** GR Announcement 3.547 8.915 11.57 12.90 Results .5761 -5.310 -11.88 3.231 IE Announcement -18.80 -11.43 -12.70*** 2.591 Results -6.593** -4.689 -3.604 -1.714 IT Announcement -2.265 -4.283 -5.789 -1.042 Results -1.257 -6.241 -10.62 -8.486 MT Announcement .5967* .8259*** .0342 1.631 Results .4198 -.8276*** -2.042*** 1.240 PT Announcement -4.840*** -4.212*** -5.211*** -2.287*** Results 2.887*** -1.782 -5.845 -7.379 SK Announcement -7.700 -6.578 -2.006*** 4.838*** Results .7174 -.6332 .6012 1.880 Notes: ***, **, *, denotes significance at the respectively 1, 5, 10 percent level. This table shows the average cumulative abnormal returns on a country level in stock (in %) markets. Reported values are based on corrected t-statistics. 15
Page 1 and 2: DNB Working Paper Market reactions
Page 3 and 4: Market reactions to the ECB’s Com
Page 5 and 6: clarification of the methodology in
Page 7 and 8: the threshold under the adverse sce
Page 9 and 10: test whether banks have CARs that a
Page 11 and 12: Finally, we have examined the CARs
Page 13 and 14: Journal of Financial Stability 11,
Page 15: NL Nederlandse Waterschapsbank ✗
Page 19 and 20: Table 5. Bank stock issuances in th
Page 21: Previous DNB Working Papers in 2015

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