Table IV Correlation matrix Variable CAR...

Table IV

Correlation matrix

Variable CAR	CAR_{[−2, +20]}	CAR_{[−2, +1]}	EPS	ROE	ROIC	TIER1	Ownership	Size	TIER1 stressed	NPL	NPL coverage	NPL collateral
CAR_{[−2, +20]}	1.000
CAR_{[−2, +1]}	0.961	1.000
EPS	0.146	0.164	1.000
ROE	−0.625	−0.635	0.467	1.000
ROIC	−0.402	−0.368	0.667	0.936	1.000
TIER1	−0.833	−0.895	−0.379	0.375	0.078	1.000
Ownership	−0.592	−0.441	0.082	0.384	0.444	0.347	1.000
Size	−0.698	−0.607	−0.674	0.016	−0.221	0.737	0.347	1.000
TIER1 stressed	−0.871	−0.815	−0.025	0.052	0.033	0.452	0.432	0.731	1.000
NPL	0.648	0.596	−0.633	−0.593	−0.718	0.304	−0.842	0.300	−0.252	1.000
NPL coverage	0.776	0.822	0.363	0.568	0.501	−0.739	−0.465	−0.892	−0.846	0.082	1.000
NPL collateral	−0.377	−0.270	−0.805	−0.940	−0.901	0.484	0.002	0.955	0.539	0.384	−0.743	1.000

Variable CAR	CAR_{[−2, +20]}	CAR_{[−2, +1]}	EPS	ROE	ROIC	TIER1	Ownership	Size	TIER1 stressed	NPL	NPL coverage	NPL collateral
CAR_{[−2, +20]}	1.000
CAR_{[−2, +1]}	0.961	1.000
EPS	0.146	0.164	1.000
ROE	−0.625	−0.635	0.467	1.000
ROIC	−0.402	−0.368	0.667	0.936	1.000
TIER1	−0.833	−0.895	−0.379	0.375	0.078	1.000
Ownership	−0.592	−0.441	0.082	0.384	0.444	0.347	1.000
Size	−0.698	−0.607	−0.674	0.016	−0.221	0.737	0.347	1.000
TIER1 stressed	−0.871	−0.815	−0.025	0.052	0.033	0.452	0.432	0.731	1.000
NPL	0.648	0.596	−0.633	−0.593	−0.718	0.304	−0.842	0.300	−0.252	1.000
NPL coverage	0.776	0.822	0.363	0.568	0.501	−0.739	−0.465	−0.892	−0.846	0.082	1.000
NPL collateral	−0.377	−0.270	−0.805	−0.940	−0.901	0.484	0.002	0.955	0.539	0.384	−0.743	1.000

Note(s): The table reports the correlation matrix for CARs, accounting and ownership data from each of the seven banks in the treatment group. CAR_[−2,+20] and CAR_[−2,+1] are the estimated CARs for the longer and shorter event window, respectively. EPS indicates earnings per share, while ROE and ROIC are return one quity and return on invested capital, respectively. TIER1 indicates theTIER1 ratio. Ownerships the percentage of stocks held by “significantstockholders” (i.e. investors holding more than 2 per cent of out standing shares, based on the Consob database), while Shareholder 1 and Shareholder 2 indicate the percentage held by the first and second largest shareholder, respectively. Assets is balance sheet's total assets at the end of the financial year 2014, with values measured in EUR millions. TIER1 stressed is the estimated Tier1 that the bank would have in a stressed macro economic scenario, according to the European Banking Authority 2014 EU-wide stress test.The following three variables, finally, are from the European Banking Authority 2015 EU-wide transparency exercise: NPL (%) which measures the percentage of non-performing loans(NPL') asa share of total outstanding loans; NPLcoverage(%) which indicates the percentage of NPLs for which the bank has set a side provisions to cover the expected losses;and NPLcollateral (%) which indicates the percentage of NPLs for which the bank has received collaterals

[ViewLarge]