Is risk disclosure in banks’ pillar 3 reporting informative? Analyzing tone consistency with annual reports
研究了欧洲银行2008-2021年样本，发现第三支柱报告中的风险披露语调能反映当前资本充足状况，并与年报语调的一致性共同影响信息披露的信息含量。
This study evaluates the informativeness of tone in risk disclosures by examining tone (in-)consistency between two key sources of bank reporting: regulatory reports under the Pillar 3 framework (P3) and annual reports prepared according to IFRS. Using a sample of European banks from 2008 to 2021, the results show that qualitative risk disclosures in P3 reports are informative for assessing banks’ current capital adequacy and serve as a benchmark to evaluate the signals in annual reports. When the tone of P3 reports shifts positively, a consistently positive tone change in annual reports enhances the informativeness of P3 disclosures. Conversely, when the tone of P3 reports shifts negatively, an inconsistent optimistic tone change in annual reports obfuscates the informativeness of P3 disclosures. These effects are influenced by the 2015 standardization of P3 reporting and the supervision role of central banks. The findings provide the first evidence of the incremental role of narrative P3 reporting in enhancing overall disclosure informativeness beyond annual reports, highlighting asymmetric signals of tone (in-)consistency across different channels of risk disclosure.