On Becoming an O-SII (“Other Systemically Important Institution”)

摘要: Abstract How have financial markets reacted to the disclosure of list Other Systemically Important Institutions by European Banking Authority? With an event study bank stock prices, we document that immediate reaction market is negative, suggesting included institutions are perceived be less profitable because they subject tighter regulation. However, within a few days, investors change their perception in case both euro-zone and noneuro-zone banks, which can attributed too-big-to-fail status. CDS spreads react similarly, increasing first before decreasing almost immediately thereafter. On day event, abnormal returns more negative for banks selected using supervisory judgement large banks. In long run, reacts positively discretionary information those with lower capitalization. (143 words)