•  
  • University of New South Wales
  • Macquarie University
  • The University of Sydney
  • University of Technology Sydney
  • Australian National University
  • The University of Melbourne
  • Capital Markets
  • Sirca
  • Commonwealth Bank
  • KPMG
  • King & Wood Mallesons
  • Macquarie
  • Australian Government - Treasury
  • New South Wales Goverment
 
 
 
 

CIFR Research Project

Do markets Pay Attention to Basel II Bank Risk Reports? - E138
Area of Interest: Financial Market Developments  Lead Institution: UNSW Australia
Assessment Round: November 2012  Completion Date: 2015
Project Summary

Under the Basel II accord, banks in Australia and other major markets financial institutions that have received this accreditation are required to disclose prudential information about their risk management practices on a semi-annual basis through Pillar 3 disclosures. A subset of this information must be disclosed quarterly. This project asks whether markets pay attention to the content of these risk reports. We document the relationship between the textual qualities of risk reports and three main response variables: (1) stock prices; (2) the quantity and sentiment represented in the banks' media coverage; and (3) trading in the banks' stocks by informed investors and speculators, including hedge funds, insiders and short-sellers. Australian banks are bench marked against a sample of Basel II compliant banks from around the world.

Team Leader:
Associate Professor Jerry Parwada | Head of School of Banking and Finance, School of Banking and Finance, Business School, UNSW Australia
Researchers:
Professor Stefan Ruenzi | Head of the Chair of International Finance, Department of International Finance, University of Mannheim, Germany
Project Outputs:
 
 
 
 
 

 

The Centre for International Finance and Regulation (CIFR) represents a strategic link between academia, financial regulators, policy makers and industry, promoting financial sector vibrancy, resiliency and integrity, through leading research and education.

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