We examine the information content of disclosures of solvency and earnings information of European insurance companies under the Solvency I and Solvency II regulatory regimes. Using an event-study research design, we investigate a sample of 571 announcements of 46 insurance firms during the 2012–2018 period. We find that under the Solvency I directive, investors find unexpected earnings to be informative but not the unexpected solvency ratio. However, under the Solvency II directive, both unexpected earnings and the unexpected solvency ratio are relevant to investors. Based on a decomposition of explained variance, we find that under the Solvency II directive, investors' attention has partly shifted away from earnings information toward solvency information. Our results indicate that the disclosed solvency ratios contain value relevant information under the risk-based Solvency II framework and that the requirements under this framework shift investor attention toward solvency information and away from earnings of European insurance companies.

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偿付能力 II 相对于收益的比率的信息内容

我们研究了偿付能力 I 和偿付能力 II 监管制度下欧洲保险公司的偿付能力和收益信息披露的信息内容。使用事件研究研究设计，我们调查了 2012-2018 年期间 46 家保险公司的 571 份公告的样本。我们发现，在偿付能力 I 指令下，投资者发现意外收益是有用的，但不是意外偿付能力比率。然而，根据偿付能力 II 指令，意外收益和意外偿付能力比率都与投资者相关。基于解释方差的分解，我们发现在偿付能力 II 指令下，投资者的注意力部分从收益信息转向偿付能力信息。