This study investigates the impact of increased disclosures required by Financial Accounting Standards Board (FASB) Financial Interpretation No. 46 (FIN 46) Consolidation of Variable Interest Entities and the Sarbanes-Oxley Act of 2002 (SOX). Our results indicate that the maximum risk disclosures required under FIN 46 were only marginally priced, although differences exist across type of VIE and whether the structure was ultimately consolidated. Further, while all firms experienced decreases in idiosyncratic risk around this time of increasing regulatory scrutiny and upon adoption of SOX, only the off-balance sheet disclosures required by FIN 46 appear to have significantly altered firm idiosyncratic risk beyond the general provisions of SOX. Our study has implications for accounting regulators determined to design effective investor protection regulation.