Search results for " event study"
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Financial Sector Reform After the Crisis: Has Anything Happened?
2013
We analyze the reactions of stock returns and CDS spreads of banks from Europe and the United States to four major regulatory reforms in the aftermath of the subprime crisis, employing an event study analysis. In contrast to the public perception that nothing has happened, we find that financial markets indeed reacted to the structural reforms enacted at the national level. All reforms succeeded in reducing bail-out expectations, especially for systemic banks. However, banks' profitability was also affected, showing up in lower equity returns. The strongest effects were found for the Dodd-Frank Act (especially the Volcker rule), whereas market reactions to the German restructuring law were …
Switching to floating exchange rates, devaluations, and stock returns in MENA countries
2012
Abstract We test for the impact of the announcements of floating and/or devaluating the exchange rate on stock returns in three MENA countries after the financial crises they experienced. We, first, use an event-study methodology to test for event-induced abnormal volatility of stock returns in Egypt, Morocco and Turkey. We, then, use three different methodologies to test for abnormal returns: a traditional approach and two approaches that control for event-induced volatility. We find clear evidence of abnormal volatility and abnormal returns due to the floating of the Egyptian and Turkish exchange rates in 2003 and 2001, respectively. In contrast, our results do not show that the devaluati…