Using a large and inclusive sample, we assess the market's perception of the Volcker Rule and its effectiveness. We use both the equity and credit default swap (CDS) market responses to the announcement. Our results suggest that the capital markets perceive the Volcker Rule as a positive regulatory measure overall. Using our own proxy, we examine market reactions to banks targeted and not targeted by the Volcker Rule and find that the overall positive market response to the Volcker Rule appears to be driven by the larger number of non-targeted, smaller banks. We conclude that the Volcker Rule has a positive effect on smaller banks in that it levels the playing field between large and small banks. Further analyses indicate that banks with higher systemic risk, less liquidity, and worse financial reporting quality are more likely to be negatively impacted by the Volcker Rule. The analyses of these characteristics before and after the announcement of the rule also indicate a positive impact of the Volcker Rule. (C) 2017 Elsevier Inc. All rights reserved.