Footnote:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments May 2, 2023 erstellt
Description:
This study provides evidence of the very short-term element impact of news on sovereign spreads, validating market-sentiment effects even under unchanged fundamentals, as applicable during select dates in the Greek crisis narrative. The event study is performed for five key dates corresponding to the revelation of the true size of the Greek budget deficit in 2009, the S&P downgrade for Greece into Selective Default in 2012, the first-time election of SYRIZA in 2015, announcement of the Grexit referendum in 2015, the announcement of a generalized lockdown in response to the COVID-19 crisis in 2020. The analysis is replicated using two distinct benchmarks and two alternative event-window specifications. The application of event-study methods during an era of global shocks (such as COVID-19) is particularly timely