Sovereign Credit Risk, Banks' Government Support, and Bank Stock Returns around the World

Material TypeArticleLanguageEnglish
TitleSovereign Credit Risk, Banks' Government Support, and Bank Stock Returns around the World Author(S)RICARDO CORREA (Author)
Abstract  We explore the joint effect of expected government support to banks and changes in sovereign credit ratings on bank stock returns using data for banks in 37 countries between 1995 and 2011. We find that sovereign credit rating downgrades have a large negative effect on bank stock returns for those banks that are expected to receive stronger support from their governments. ...Paginationp 93–121
SubjectEconomicsDescriptorsEconomics
Journal TitleJournal of Money, Credit, and Banking  
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