The market reaction to bank regulatory reports

Brad A. Badertscher, Jeffrey J. Burks () and Peter D. Easton
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Brad A. Badertscher: University of Notre Dame
Jeffrey J. Burks: University of Notre Dame
Peter D. Easton: University of Notre Dame

Review of Accounting Studies, 2018, vol. 23, issue 2, No 9, 686-731

Abstract: Abstract We investigate the role of bank regulatory reports in the information environments of banks. Our findings are as follows. (1) Call Reports but not FR Y-9Cs elicit economically significant stock price and volume reactions when they are publicly released, despite the fact that Call Reports usually follow earnings announcements. (2) Some of the reaction is traceable to a schedule dealing with mortgage lending and servicing. (3) The release of the Call Reports is tightly clustered around the 30th day after quarter-end. (4) After bank regulators undertook a “modernization project” to speed the processing and public dissemination of regulatory reports, the banking industry routinely experiences abnormal stock price volatility and trading volume on the 30th day of the quarter. (5) The market reaction increased after media coverage of this study. Our findings are of interest to regulators who require and monitor the reports, banks that prepare the reports, investors who may use the reports, and academics who can base research designs on the timing patterns we uncover.

Keywords: Call Report; Y-9C; Commercial banks; Bank holding company; Market reaction; Banking industry (search for similar items in EconPapers)
JEL-codes: M41 M42 (search for similar items in EconPapers)
Date: 2018
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Citations: View citations in EconPapers (14)

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DOI: 10.1007/s11142-018-9440-8

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