U.S. Bank Stocks and the Subprime Crisis

Master's Thesis from the year 2009 in the subject Business economics - Banking, Stock Exchanges, Insurance, Accounting, grade: 1,00, Fachhochschule des bfi Wien GmbH, language: English, abstract: This paper examines if U.S. American banks that announced write-offs in their

quarterly reports, due to the so-called subprime crisis, show abnormal returns in

relation to the S&P 500 index in 4 different time periods. The basics and the history

of event studies are mentioned and different methods to determine abnormal returns

and how to test the significance of abnormal returns are explained. The event study

of this paper is evaluated with the market adjusted returns model and Ordinary Least

Squares market model. The estimated abnormal returns are then tested on

significance with parametric and non-parametric tests. Besides that, this paper also

gives a summary about the subprime crisis, the role of players, the sources, the

complexity and the broadening of the crisis.