We investigate the implications of government interventions and regulatory changes on too-big-too-fail expectations of European banks. First evidence from market returns over the 1996 to 2016 period suggests that large European banks have benefited and continue to benefit from implicit government guarantees. We document a systemic risk pricing factor in equity returns, which is consistently priced in returns and results in significantly lower equity funding costs for these banks. Importantly, our evidence suggests that too-big-to-fail expectations persist throughout the financial and sovereign debt crisis and after the Single Supervisory Mechanism has been introduced.