The market reaction to bank regulatory reports
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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.
KeywordsCall Report Y-9C Commercial banks Bank holding company Market reaction Banking industry
JEL classificationM41 M42 M44
We appreciate helpful comments from the editor (Shiva Shivakunar), an anonymous reviewer, Anwer Ahmed, Ramji Balakrishnan, Ray Ball, Erik Beardsley, Mary Billings, Ciao-Wei Chen, Shuping Chen, Brant Christensen, Michael Clement, Dan Collins, Christine Cuny, Emmanuel De George, Yiwei Dou, Aytekin Ertan, John Gallemore, Jon Garfinkel, Pingyang Gao, Joseph Gerakos, Joao Granja, Paul Hribar, Bjorn Jorgensen, Michael Jung, Bill Kinney, April Klein, Anya Kleymenova, Sam Melessa, Christian Leuz, Rick Mergenthaler, John McInnis, Tom Omer, Mark Penno, John Pogach, Korok Ray, Pat Relich, Sarah Rice, Stephen Ryan, Steven Savoy, Jamie Schmidt, Lakshmanan Shivakumar, Doug Skinner, Ed Swanson, Senyo Tse, Connie Weaver, Jaron Wilde, Joanna Wu, Paul Zarowin, Frank Zhang, and workshop participants at the University of Texas-Austin, University of Illinois, University of Mississippi, Federal Deposit Insurance Corporation, Cambridge University, London Business School, London School of Economics, New York University, Texas A&M University, Yale Research Conference, University of Chicago, University of Iowa, and University of Nebraska. We thank Manisha Goswami, Lorie Marsh, and Bill McDonald for research assistance and John Montgomery at SNL Financial for assistance with obtaining data. We are grateful for financial support from the Center for Accounting Research and Education (CARE) at the Mendoza College of Business, the Deloitte Foundation, PricewaterhouseCoopers, and the Mendoza College of Business.
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