The information content of the Banking Regulatory Agencies and the Depository Credit Intermediation Institutions

摘要

We investigate the effectiveness of a well-known global regula-tory agency, the Basel Committee, on a major sector of the US financial market. The Basel Committee's recommendations are implemented in the US following a plan set forth by the Federal Banking Agencies (FBAs). The information content of the FBAs' announcements related to the Basel recommendations is assessed over the 1999-2010 for a sample of 2402 securities of different Depository Credit Intermediation Institutions (DCII). Employing time series of cross section data on these banks, our results indicate that Basel's recommendations have significant impact on the DCII stocks through the FBAs announcements.