Output list
Working paper
Running event studies using Stata: the estudy command
Published 2017
SSRN, 6 November 2017, 1 - 14
This paper proposes the Stata command estudy and illustrates how it can be used to perform an event study customizing the statistical framework, from the estimates of abnormal returns to the tests for their statistical significance. Our program significantly improves the existing modules both in terms of completeness and users' comprehension.
Working paper
Stress testing banks: an international comparison
Published 2017
SSRN, 24 February 2017, 1 - 44
In the aftermath of the great financial crisis, the financial supervision changed its focus from micro to macroprudential. Matching the key features of each procedure so far conducted with the review of the analyses concerning the market reactions caused by their disclosure we find that stress tests can sooth panic and restore market confidence only when conducted during crisis period, built on severe yet plausible scenarios and accompanied with a credible institutional recapitalization mechanism.
Working paper
Large scale supervisory assessment of banks: where is the beef?
Published 2016
SSRN, 1 May 2016, 1 - 39
It is common practice in supervision of regulated banks to perform and disclose a simultaneous standardized assessment of their asset quality, organizational effectiveness, strategic viability and resilience to financial turmoil. Investigating the ECB 2014 Comprehensive Assessment and the subject banks' stock price reactions, we find that this process provides limited assistance to the market in sorting good banks from bad banks. Notwithstanding, the market adjusts to these findings, since it understands that they signal the stance of supervisory policy towards banking activities, which begets the level of regulatory risk and cost for the supervised banks.