Supervisors as information producers: Do stress tests reduce bank opaqueness?

- The 2011 EU stress test caused price adjustments and helped mitigate bank opacity.
- Price adjustments were driven by what-if results for a simulated downturn scenario.
- Proxies for the banks' liquidity risk and model risk also impacted prices.
- Data on the banks' sovereign debt holdings were only relevant on a univariate basis.
- Investors were unable to anticipate the stress test results.