The Market Reaction to Bank Regulatory Filings (Formerly 'Day 30: The Tacit Quarterly Information Event in the Banking Industry')

55 Pages Posted: 25 Apr 2015 Last revised: 22 Dec 2016

Brad A. Badertscher

University of Notre Dame

Jeffrey J. Burks

University of Notre Dame

Peter D. Easton

University of Notre Dame - Department of Accountancy

Date Written: December 21, 2016

Abstract

We investigate the role of bank regulatory reports in the information environment of banks. We find that: (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) the release of the Call Reports is tightly clustered around the 30th day after quarter-end; and, (3) 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. Our findings are of interest to regulators who require and monitor the reports, banks who 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, FR Y-9C, commercial banks, bank holding company, earnings announcement, 10-K, 10-Q, market reaction, banking industry

JEL Classification: G21, G14, M40, M41

Suggested Citation

Badertscher, Brad A. and Burks, Jeffrey J. and Easton, Peter D., The Market Reaction to Bank Regulatory Filings (Formerly 'Day 30: The Tacit Quarterly Information Event in the Banking Industry') (December 21, 2016). Available at SSRN: https://ssrn.com/abstract=2598372 or http://dx.doi.org/10.2139/ssrn.2598372

Brad A. Badertscher

University of Notre Dame ( email )

Mendoza College of Business
Notre Dame, IN 46556-5646
United States

Jeffrey J. Burks (Contact Author)

University of Notre Dame ( email )

Mendoza College of Business
Notre Dame, IN 46556-5646
United States

Peter D. Easton

University of Notre Dame - Department of Accountancy ( email )

Mendoza College of Business
Notre Dame, IN 46556-5646
United States
574-631-6096 (Phone)
574-631-5127 (Fax)

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