... (1 0/2 1/9 2) PAOLO 9.9 (1 2/0 4/0 0) 9.7 (0 9/1 0/9 8) 9.5 (0 9/2 0/0 1) CAPITA 18.2 (0 3/0 7/0 0) 12.0 (1 0/0 1/9 8) 11.5 (0 6/2 0/9 4) SANTANDER 15.9 (1 0/0 1/9 8) 12.8 (0 1/1 3/9 9) 11.4 (0 7/3 0/0 2) BILBAO 14.5 (0 1/1 3/9 9) ... (0 8/0 1/0 2) 10.6 (0 9/3 0/0 2) 10.6 (0 9/1 1/0 1) ALMANIJ 8.7 (1 1/2 6/9 9) 8.0 (0 4/3 0/9 2) 6.2 (0 8/0 1/0 2) ALPHA 9.4 (0 4/2 7/9 8) 9.4 (0 9/0 9/9 3) 9.1 (0 1/1 3/9 9) BCP 17.1 (1 0/2 3/0 2) 9.9 (0 2/2 5/0 3) 9.1 (0 4/1 6/9 9) ... sample 70 Appendix C Balance sheet data 71 Appendix D Return and spread data 75 Appendix E Results for GARCH-filtered data 79 European Central Bank working paper series 91 ECB Working Paper Series...