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    Rights statement: This is the author’s version of a work that was accepted for publication in Journal of Financial Stability. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Financial Stability 32, 2017 DOI: 10.1016/j.jfs.2017.09.002

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Did the financial crisis affect the market valuation of large systemic U.S. banks?

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Did the financial crisis affect the market valuation of large systemic U.S. banks? / Bertsatos, Georgios; Sakellaris, Plutarchos; Tsionas, Mike G.

In: Journal of Financial Stability, Vol. 32, 10.2017, p. 115-123.

Research output: Contribution to journalJournal article

Harvard

Bertsatos, G, Sakellaris, P & Tsionas, MG 2017, 'Did the financial crisis affect the market valuation of large systemic U.S. banks?', Journal of Financial Stability, vol. 32, pp. 115-123. https://doi.org/10.1016/j.jfs.2017.09.002

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Author

Bertsatos, Georgios ; Sakellaris, Plutarchos ; Tsionas, Mike G. / Did the financial crisis affect the market valuation of large systemic U.S. banks?. In: Journal of Financial Stability. 2017 ; Vol. 32. pp. 115-123.

Bibtex

@article{7ec6dc2438b1431e8524bf6f6380976d,
title = "Did the financial crisis affect the market valuation of large systemic U.S. banks?",
abstract = "We examine the impact of the financial crisis on the stock market valuation of large and systemic U.S. bank holding companies (BHCs). Using the Bertsatos and Sakellaris (2016) model of fundamental valuation of bank equity, we provide evidence that the financial crisis has not altered investors{\textquoteright} attitudes towards bank characteristics. In particular, before, during, and after the crisis, investors in large and systemic U.S. BHCs seemed to penalize leverage, albeit temporarily. Both before and after the crisis, they reward size in the short run. This pattern is appearing only briefly during the crisis. We also show that bank opacity plays no role in market valuation either in the short run or in the long run. Last but not least, we find evidence that stress testing has been informative to the market and that those BHCs that failed at the post-crisis stress tests were not subsequently valued differently by the market.",
keywords = "Valuation, Systemic U.S. BHCs, Financial crisis, Stress testing, Co-integration",
author = "Georgios Bertsatos and Plutarchos Sakellaris and Tsionas, {Mike G.}",
note = "This is the author{\textquoteright}s version of a work that was accepted for publication in Journal of Financial Stability. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Financial Stability 32, 2017 DOI: 10.1016/j.jfs.2017.09.002",
year = "2017",
month = oct
doi = "10.1016/j.jfs.2017.09.002",
language = "English",
volume = "32",
pages = "115--123",
journal = "Journal of Financial Stability",
issn = "1572-3089",
publisher = "Elsevier",

}

RIS

TY - JOUR

T1 - Did the financial crisis affect the market valuation of large systemic U.S. banks?

AU - Bertsatos, Georgios

AU - Sakellaris, Plutarchos

AU - Tsionas, Mike G.

N1 - This is the author’s version of a work that was accepted for publication in Journal of Financial Stability. Changes resulting from the publishing process, such as peer review, editing, corrections, structural formatting, and other quality control mechanisms may not be reflected in this document. Changes may have been made to this work since it was submitted for publication. A definitive version was subsequently published in Journal of Financial Stability 32, 2017 DOI: 10.1016/j.jfs.2017.09.002

PY - 2017/10

Y1 - 2017/10

N2 - We examine the impact of the financial crisis on the stock market valuation of large and systemic U.S. bank holding companies (BHCs). Using the Bertsatos and Sakellaris (2016) model of fundamental valuation of bank equity, we provide evidence that the financial crisis has not altered investors’ attitudes towards bank characteristics. In particular, before, during, and after the crisis, investors in large and systemic U.S. BHCs seemed to penalize leverage, albeit temporarily. Both before and after the crisis, they reward size in the short run. This pattern is appearing only briefly during the crisis. We also show that bank opacity plays no role in market valuation either in the short run or in the long run. Last but not least, we find evidence that stress testing has been informative to the market and that those BHCs that failed at the post-crisis stress tests were not subsequently valued differently by the market.

AB - We examine the impact of the financial crisis on the stock market valuation of large and systemic U.S. bank holding companies (BHCs). Using the Bertsatos and Sakellaris (2016) model of fundamental valuation of bank equity, we provide evidence that the financial crisis has not altered investors’ attitudes towards bank characteristics. In particular, before, during, and after the crisis, investors in large and systemic U.S. BHCs seemed to penalize leverage, albeit temporarily. Both before and after the crisis, they reward size in the short run. This pattern is appearing only briefly during the crisis. We also show that bank opacity plays no role in market valuation either in the short run or in the long run. Last but not least, we find evidence that stress testing has been informative to the market and that those BHCs that failed at the post-crisis stress tests were not subsequently valued differently by the market.

KW - Valuation

KW - Systemic U.S. BHCs

KW - Financial crisis

KW - Stress testing

KW - Co-integration

U2 - 10.1016/j.jfs.2017.09.002

DO - 10.1016/j.jfs.2017.09.002

M3 - Journal article

VL - 32

SP - 115

EP - 123

JO - Journal of Financial Stability

JF - Journal of Financial Stability

SN - 1572-3089

ER -