| Resumo: | The Basel regulation put forth by the Basel Committee of Banking Supervision (BCBS) is an ambitious endeavor that aims at regulating the banking industry worldwide. The Basel III accord introduced in 2010 is the latest iteration of this effort. Implementation of Basel III is well underway today and programmed to take full effect in 2019. The criticism towards Basel III is mainly pointed towards the negative impact it could have on the economy and the profitability of banking institutions. In addition, the impacts on different banking business models could be heterogeneous, benefitting some models more than others. The main question this thesis tries to answer is if wealth effects on European exchange traded banks brought by Basel III will be negative and if different business models will be impacted differently. To answer this question a group of European banks were selected. Bank business models were assigned using the k-means clustering algorithm where banks are clustered into traditional vs. non-traditional categories depending on the asset and liability structure of the balance sheet. An event study is then conducted to measure the wealth effects caused by the introduction of Basel III on an aggregate level and by business model. The event studies are conducted on six key dates from press releases by the BCBS to better capture the full effects of Basel III. Lastly, a regression model is used to check whether there is any relationship between the abnormal returns on the pre-specified event dates and bank business models. This thesis finds that impacts on different event dates were not homogenous: some resulted in positive abnormal returns and some negative therefore it was not possible to conclude if the impact of Basel III was negative on European exchange traded banks. From the results, it was not possible to conclude if any business model is impacted more or less severely by Basel III. The results suggest that there are more dynamics at play that could influence the value of exchange traded European banks.
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