Annex 2. Additional Results for the Replication Exercise

• Author: Maccaferri, Sara; Bellia, Mario
• Pages: 51-55

51

Annex 2. Additional Results for the Replication Exercise

The results reported in this Section replicate the event studies presented in Section 3.1 and are run using the

entire set of banks, without removing those belonging to the country where the given event took place.

Table 46: Abnor mal bank CDS spre ads difference s- creditor bail-in Denmar k – full dataset

Event

Date

Full

sample

G-SIB

Non-G-

SIB

G-SIB vs

Non-G-

SIB

GIIPS

Non

GIIPS

GIIPS vs

Non-

GIIPS

Amage rbanken: b ail-in of

se nior debt

06/02/11

Averag e

-1.18 7

2.606

-2.74 4

5.35**

-6.06 6

1.388

-7.45 4

T-tes t

-0.06 1

-0.42 0

-0.26 7

-4.03 1

-0.50 9

-0.19 2

-1.51 2

p-v alue

0.805

0.517

0.605

0.045

0.475

0.661

0.219

Cumula ted

ave rage

-4.77 7

-0.65 1

-6.46 9

5.818

-12.1 51

-0.88 5

-11.2 66

T-tes t

0.485

0.013

0.733

2.353

1.009

0.038

1.706

p-v alue

0.486

0.909

0.392

0.125

0.315

0.844

0.192

Table 47 : Abnor mal bank stock retur ns - creditor bail-in Denmark – full datas et

Event

Date

Full

sample

G-SIB

Non-G-

SIB

G-SIB vs

Non-G-

SIB

GIIPS

Non

GIIPS

GIIPS vs

Non-

GIIPS

Amage rbanken: b ail-in of

se nior debt

06/02/11

Averag e

0.741%

1.111%

0.654%

0.457%

0.056%

1.049%

-0.99 2%

T-tes t

-0.51 3

-0.58 6

-0.46 0

-0.38 3

-0.00 1

-2.00 9

-0.50 7

p-v alue

0.476

0.447

0.500

0.538

0.976

0.161

0.479

Cumula ted

ave rage

0.778%

1.271%

0.662%

0.609%

-0.00 9%

1.131%

-1.14 %

T-tes t

0.274

0.372

0.229

0.330

0.000

1.134

0.324

p-v alue

0.602

0.544

0.634

0.567

0.997

0.290

0.571

Table 48 : Abnor mal bank CDS spre ads difference s - creditor bail-in Spain – full datase t

Event

Date

Full

sample

G-SIB

Non-G-

SIB

G-SIB vs

Non-G-

SIB

GIIPS

Non

GIIPS

GIIPS vs

Non-

GIIPS

Sp anish bank re scue plan

implies ba il-in

10/07/12

Averag e

-0.54 8

-3.32 6

0.563

-3.88 9

0.186

-0.95 6

1.142

T-tes t

-0.00 6

-0.29 4

-0.00 5

-0.54 1

0.000

-0.05 3

-0.01 0

p-v alue

0.938

0.588

0.943

0.462

0.989

0.819

0.921

Cumula ted

ave rage

-0.76 5

-2.67 6

0

-2.67 6

0.991

-1.74

2.731

T-tes t

0.006

0.094

0.000

0.126

0.003

0.086

0.028

p-v alue

0.939

0.759

1.000

0.722

0.960

0.769

0.867

German go vernment

ba cks rescu e plan

19/07/12

Averag e

-1.90 7

-0.32 6

-2.53 9

2.213

-3.51 1

-1.01 6

-2.49 5

T-tes t

-0.07 6

-0.00 3

-0.10 5

-0.17 1

-0.06 4

-0.06 5

-0.04 6

p-v alue

0.783

0.957

0.745

0.679

0.800

0.799

0.830