Dechun Wang
University of Missouri
Abstract: This study examines the efficacy of interest rate risk (IRR) disclosures mandated by 1997 SEC Financial Reporting Releases No. 48 (FRR No. 48) and compares the informativeness of different formats of FRR No. 48 disclosures in the banking industry. In particular, I explore whether the stock market reacts to IRR disclosures and whether this reaction is any different among alternative disclosure formats. Using an event-study research framework, I find that FRR No. 48 disclosures provide material information content to the market. However, I do not find evidence that the tabular presentation format provides a greater level of information content than the sensitivity analysis format. Moreover, the results do not support the hypothesis that disclosing two formats together is any more informative than only disclosing only one. In general, I document that different investors tend to use different formats of FRR No. 48 disclosures when evaluating market IRR.
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