This paper investigates the effects of the disclosure of the list published by the FSB/BCBS on SIFIs’ market equity value. Using event study methodology applied to a sample of 70 of the world’s largest banks, we assess whether following the release of information regarding the methodology used to identify SIFIs and the new capital requirements (July 19, 2011), and the disclosure of the list of 29 SIFIs (November 4, 2011), stock prices of SIFIs reacted significantly and differently from those of other large banks. Our work contributes to the ongoing debate concerning the regulation of SIFIs.
Bongini, P., Di Battista, M., Nieri, L. (2012). The value of being systemically important financial institutions. In G. Bracchi, D. Masciandaro (a cura di), La banca commerciale territoriale nella crisi dei mercati. Roma : Edibank.
The value of being systemically important financial institutions
BONGINI, PAOLA AGNESE;
2012
Abstract
This paper investigates the effects of the disclosure of the list published by the FSB/BCBS on SIFIs’ market equity value. Using event study methodology applied to a sample of 70 of the world’s largest banks, we assess whether following the release of information regarding the methodology used to identify SIFIs and the new capital requirements (July 19, 2011), and the disclosure of the list of 29 SIFIs (November 4, 2011), stock prices of SIFIs reacted significantly and differently from those of other large banks. Our work contributes to the ongoing debate concerning the regulation of SIFIs.
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