What you don’t know won’t hurt you: Market monitoring and bank supervisors’ preference for private information
利用欧洲共同监管报告框架下银行保密报告要求的跨国差异，研究发现监管者对私人信息的偏好越强，银行盈利公告期间的交易量、回报波动和绝对回报越低，表明投资者认为公开报告信息量减少。
We exploit cross-country variation in banks’ confidential reporting requirements under COREP, the common European supervisory risk reporting framework, as an indicator for banking supervisors’ preference for private information. Our results suggest that a stronger preference for confidential reporting is associated with significantly lower trading volume, return volatility, and absolute returns around banks’ earnings announcements. These findings are independent of the level of countries’ stock market development and supervisors’ resources and legal power, and are consistent with the idea that investors perceive banks’ public reporting to be less informative when supervisors have a strong private informational advantage. Our study adds to the literature on the influence of bank supervisors’ institutional characteristics on market discipline, and highlights the role of private supervisory knowledge in shaping investors’ monitoring incentives.