Lifted direct from AP3456:
14. Bank Error. When an aircraft is banked, the aerial is tilted and some of the signal is detected by the horizontal elements of the aerial. This will produce an error in the ADF bearing until the wings are levelled again.
It's a bit like bank error in a magnetic compass. The needle, in this case the aerial, moves relative to the thing it's pointing at and moves to re-acquire it. Relative bearings of 360, 090, 180 and 270 provide the least errors (not to be confused with Quadrantal Error).