Spain. To this end, we use as the d

Spain. To this end, we use as the dependent variable Thomson Datastream price changes of these
countries’ 10-year government bonds.
When analysing abnormal returns on the portfolios of bank equity we use the return on the
FTSEurofirst 300 index as the market index. When analysing the impact on sovereign bond prices we
use as the market index the J.P. Morgan Index of European Government Bonds with yields to maturity
between 7 and 10 years. We express the returns on bank portfolios, government bonds, and stock and
bond price indices in excess of the risk-free rate, for which we take the one-day EONIA interest rate.
4. Results
4.1. Main results
Table 3reports the abnormal returns associated with news about Greece and news about the bailout
of Greece. They are obtained as the coefficient estimates from regressing the time series of daily
portfolio returns during 2010 on the news variables (as well as on a constant and the market index
discussed above). Thefirst row in the table shows that both news about the economic situation of
Greece and news about a potential bailout of Greece have a significant impact on the equity value of
Greek banks. The impact of news about Greece is significant only at the ten-percent level, but this
partially reflects the small sample size (the portfolio comprises only four banks and thus has relatively
high variance).
The second row in the table presents results for the full sample of banks. Twofindings stand out.
First, news about the economic situation of Greece does not have a significant impact on the market
value of the equity portfolio containing all banks in the sample. Second, news about the bailout of
Greece does significantly affect the market value of this portfolio. A one percent change in the Greek
government bond price induced by news about a bailout on average leads to a 0.12 percent change in
banks’ market value.
Thefirst finding for the full sample of banks implies that expectations byfinancial markets
regarding losses for banks do not change when the probability of a Greek default changes due to news
about Greece’s economic situation. This includes losses expected from direct exposures to Greece, but
also losses expected from for instance indirect exposures via other banks. This result suggests that
market participants do not expect bank losses associated with an actual Greek default to be large.
The secondfinding implies that the prospect of a bailout has a stabilising impact on all banks’ stock
prices. When Greek bonds rise in value due to positive news about a bailout, bank stock prices rise as
well. Apparently,financial markets attach substantial value to the willingness of governments to shield
banks from losses on their sovereign exposures by bailing out failing euro countries.
To examine the impact of news about Greece and news about a Greek bailout in more detail, the
next two rows in the table distinguish banks with an exposure to Greece from banks without an

結果 (英文) 2:

西班牙。为此，我们使用作为因变量Thomson Datastream的价格变化，这些
国家10年期政府债券。
分析时的异常收益对银行股权的我们使用的
FTSEurofirst 300指数的收益为市场指数的组合。对主权债券的价格我们
作为市场指数的影响时，J.P.摩根指数的收益率的政府债券到期的欧洲
7和10岁之间。我们表达了对银行的投资组合的回报，政府债券，股票和
在无风险利率多余的债券价格指数，这是我们需要一天的隔夜利率。
4。结果
4.1。主要结果
表3reports关于希腊和有关救助
新闻相关的异常报酬率希腊。他们获得从回归日常
组合收益率时间序列的系数估计在2010对新闻的变量（以及一个常数和市场指数
上面讨论）。第一个表中的行显示消息“
希腊和希腊救助的消息一个潜在的经济形势对
股权价值的一个显着的影响希腊银行。新闻关于希腊的影响只在百分之十的水平上是显著的，但这
部分反映了小样本的大小（组合只包括四家银行和具有相对
方差）。
表中第二行了银行的全样本的结果。twofindings脱颖而出。
第一，关于希腊经济状况的消息没有在市场上
价值的股票组合的样本含有所有的银行都有显著的影响。第二，对
希腊救助的消息并显著影响这种投资组合的市场价值。在平均约百分之0.12的变化导致
救助的消息引起的希腊政府债券价格的百分之一一的变化
银行市场价值。
第一个发现银行的全样本意味着金融市场预期
对于银行的损失不在希腊违约的概率的变化，由于新闻
对希腊的经济形势变化。这包括损失期望从希腊风险敞口，但
也损失预计从例如间接暴露通过其他银行。这一结果表明，
市场参与者不希望银行的损失要大一个实际的希腊违约相关。
的secondfinding意味着救助希腊的前景有一个稳定的影响
所有银行的股票价格。当希腊债券价值上升，由于对救市利好消息，为
好银行股票价格的上升。显然是，金融市场高度实质价值政府屏蔽
银行从他们的主权风险损失的救助失败的欧元区国家的意愿。
检查对希腊和更详细的希腊救助计划的新闻消息的影响，在
在桌子下两行区分银行的银行对希腊曝光不一个