Equity Price Discovery with Informed Private Debt

• 成果类型: Article
• 署名作者: Addoum, Jawad M.; Murfin, Justin R.
• 署名单位: Cornell University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhz128
• 发表日期: 2020
• 页码: 3766
• 关键词: cross-section; DELISTING BIAS; stock returns; loan sales; INFORMATION; MARKET; equilibrium; EFFICIENCY; RISK

摘要

Equity markets fail to account for the value-relevant nonpublic information enjoyed by syndicated loan participants and reflected in publicly posted loan prices. A long-short strategy that buys (sells) the equities of firms with recently appreciated (depreciated) loans earns large risk-adjusted returns, suggesting a surprising and economically important level of segmentation across the same firm's capital structure. The information lag captured by trading strategy returns is not affected by drivers of firm-specific attention, including the publication of loan returns in the Wall Street Journal. Instead, returns to the strategy are eliminated among equities held by mutual funds also trading in syndicated loans.