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In 2017, insurers in the European Union disclosed their Solvency and Financial Condition Reports (SFCRs) according to the third pillar of Solvency II for the first time. The aim of this article is to empirically analyze market reactions to the first SFCRs for all publicly listed insurers in the European Union that published an English report based on an event study. We thereby investigate which key figures and textual attributes matter most to investors, using regression analyses and text mining approaches. We also discuss potential areas for improvement concerning SFCR disclosure, such as a central public disclosure platform and further standardization of disclosure requirements, which could further enhance the goals of transparency and market discipline in relation to Solvency II's Pillar 3. Our results show that SFCR key figures matter more than textual features. Specifically, we find a significantly positive market impact of the solvency ratio calculated without transitionals or adjustments and a significantly negative one for the solvency capital requirement (SCR).

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