Asymmetric Information in the European Banking Sector? - Abnormal stock returns in connection to information disclosure

Sammanfattning: This thesis investigates the overall market reaction in connection to the stress test and transparency exercise conducted by the European Banking Authority in 2018. For this we apply an event study that adjusts for event clustering, something that is widely neglected in previous literature. This approach has a big impact on decreasing the statistical significance of the results. The results show an existence of stock anomalies in connection to both the stress test and the transparency exercise disclosures, indicating that they provided the market with new information. However, the results are sensitive to the choice of event window. When investigating driving factors to explain the results only weak indications of a higher transparency for larger banks are found.