In this paper we examine the role of Basel Pillar 3 risk reporting in improving market transparency. Pillar 3 reporting requirements vary widely across countries; most banks in Europe release Pillar 3 risk reports annually after their annual reports are published and information contained in these reports does not elicit a stock market reaction. Australian banks, on the other hand, release Pillar 3 reports quarterly, independent of their annual reports. We find that this higher frequency of information disclosure is useful to investors and they react positively to reports of an increase in capital and negatively to a decrease in credit quality. We also find that investors ignore changes in the risk-weighted assets of a bank, but pay attention to total credit exposure. This study informs regulators and market participants on the efficacy of Pillar 3 risk reporting with several policy implications.