A note on the stock market effects of the adoption of risk-based capital requirements on international banks in different countries

The information content of the Banking Regulatory Agencies and the Depository Credit Intermediation Institutions

“…This is consistent with the market microstructure tests of banking stocks. Our results are supportive of other strands of research in banking stock performance, banking risk factors, and regulatory announcements, (see, for instance, Bohl, Siklos, & Sondermann, 2008;Brewer & Klingenhagen, 2010;Drobetz, Erdmann, & Zimmermann, 2007;Cummins, Lewis, & Wei, 2006;Cooper, Kolari, & Wagster, 1991). Brewer and Klingenhagen (2010), measuring the response of stock prices of various size groups of banking organizations to government announcements during the 2008 financial crisis, find statistically significant positive stock return reactions.…”

“…Cummins et al (2006) document the presence of a statistically significant negative stock price reaction to announcements. In an earlier work, Cooper et al (1991) establish a significant decline in equity returns of the US, Canada, and UK banks in response to Basel news announcement. In addition, our results also support French (1996, 1998) and Barber and Lyon (1997) in terms of identifying banking risk determinants as asset size and book to market ratio.…”

Dividend Imputation and Shareholder Wealth: The Case of New Zealand

“…Therefore, we follow Schwert (1981), Dann and James (1982) and Cooper, Kolari and Wagster (1991) who observe that potential event date clustering problems can be mitigated by using equal-weighted portfolios of stock returns.…”

The Basel Capital Accords and International Mortgage Markets: A Survey of the Literature

“…Introduction of Basel I had negative announcement affects according to the empirical results of Cooper, Kolari and Wagster (1991). They find significantly negative abnormal returns for bank stocks upon announcement of the Basel I proposals and adoption.…”