Working paper

The Impact of Pillar 3 Disclosures on Asymmetric Information and Liquidity in Bank Stocks: Multi-Country Evidence

Publisher
Finance Banks and banking Pillar 3 disclosures Liquidity Financial system regulation Sector regulation
Resources
Attachment Size
apo-nid67356.pdf 1.2 MB
Description

Theory suggests that increasing the public availability of regulatory information may hurt the information environment of bank stocks. It is therefore not clear whether the Basel Accord’s intent to foster market discipline by requiring banks to publish information on their risk management practices and exposures is beneficial. Using a sample of the 54 largest banks in Australia, Canada, India, Singapore, South Africa and UK, we find that, with the exception of South Africa and Singapore, there is a reduction in time-waited bid-ask spreads post the implementation of Pillar 3 reporting. The preliminary evidence suggests that increasing the availability of hitherto private information on risk management practices is welfare enhancing.

Publication Details
DOI:
10.4225/50/583e009e2171c
Access Rights Type:
open