Does the Disclosure of Proprietary Information About Loan Losses Pose a Threat to Financial Stability?
利用丹麦公开的银行检查报告数据，研究监管要求增加贷款损失准备金的消息是否导致金融市场传染，发现对公告银行有负面回报，对同行银行有轻微传染效应，但系统性风险有限。
Abstract Concerns have been expressed that public disclosure of outcomes from regulatory inspections of banks could lead to contagion and instability in the financial systems. This paper exploits Denmark's system of open inspection reports to analyze whether announcements of required increases in loan loss reserves by the Danish supervisory authorities, following an ordinary bank inspection, lead to contagion in financial markets. We find strong evidence of negative returns for the announcing banks over the period 2009–2020, suggesting that inspection reports containing proprietary information about loan losses provide value-relevant news to investors. We also find statistically significant contagion effects in the share price reactions among non-announcing peer banks. However, the reactions of other, non-affected banks are mild and confined to smaller banks, which is reassuring from a systemic risk perspective. Overall, our findings support the use of accounting disclosures as a policy tool for bank supervisors.