Mandatory disclosure, voluntary disclosure, and stock market liquidity: Evidence from the EU bank stress tests

Bischof, Jannis ; Daske, Holger

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Document Type: Article
Year of publication: 2013
The title of a journal, publication series: Journal of Accounting Research
Volume: 51
Issue number: 5
Page range: 997-1029
Place of publication: Malden, Mass. [u.a.]
Publishing house: Blackwell
ISSN: 0021-8456 , 1475-679X
Publication language: English
Institution: Business School > ABWL, Unternehmensrechnung u. Empirische Kapitalmarktforschung (Daske 2007-)
Subject: 330 Economics
Abstract: We use the EU stress tests and the Eurozone sovereign debt crisis to study the consequences of supervisory disclosure of banks’ sovereign risk exposures. We test the idea that a mandatory one-time disclosure induces an increase in voluntary disclosures about sovereign risk in the following periods and, through the shift in the voluntary disclosure equilibrium, increases the liquidity of banks’ shares. First, we find that the timing and content of different mandatory disclosure events helps explain the levels of stress-test banks’ voluntary disclosures about sovereign risk. Second, although the bid-ask spreads of stress test participants generally increased after the mandatory stress test in 2011, our results suggest that the decrease in market liquidity is entirely attributable to those stress-test participants that did not commit to voluntarily maintaining the disclosures of sovereign risk exposure.

Dieser Eintrag ist Teil der Universitätsbibliographie.

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