Information asymmetry and self-selection bias in bank loan announcement studies

• 成果类型: Article
• 署名作者: Maskara, Pankaj K.; Mullineaux, Donald J.
• 署名单位: University of Kentucky; Eastern Kentucky University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.03.019
• 发表日期: 2011
• 页码: 684-694
• 关键词: Loans; announcements; information asymmetry; event studies; selection bias

摘要

Event-study driven research has produced a consensus that loans are unique relative to other financial contracts. But these studies assume that small samples of loan announcements adequately represent the loan population. We find that loan announcements are rare and driven by factors such as information asymmetry and perceived materiality. We show that the sample used by Billett, Flannery, and Garfinkel (1995) fails to represent the loan universe and that significant abnormal announcement returns are confined to their smallest firms. Our sample, which better represents the loan population, produces an abnormal return insignificantly different from zero. The findings suggest that self-selection bias affects extant loan announcement research and do not support the views that loans are a special form of finance or that private and public debt differ in significant ways. Were all loans to be announced, the average abnormal return would likely be insignificant. (C) 2011 Elsevier B.V. All rights reserved.