This paper examines the relationship between the trading disclosed value-at-risk (VaR) and the subsequent stock returns and bond returns, and the relationship between the VaR disclosures and the changes in the level of earnings. Using trading disclosed VaR that reported by U.S banks under FRR No.48 (1997) from 1997 to 2004, we find that betas and bond returns are sensitive and positively related to reported trading VaR while equity returns are not, and the trading VaR is inversely related to changes in the level of earnings in previous periods.