Institutional stock trading on loan market information

• 成果类型: Article
• 署名作者: Ivashina, Victoria; Sun, Zheng
• 署名单位: Harvard University; National Bureau of Economic Research; University of California System; University of California Irvine
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2010.11.004
• 发表日期: 2011
• 页码: 284-303
• 关键词: institutional investors; syndicated loans; Insider trading

摘要

One of the most important developments in the corporate loan market over the past decade has been the growing participation of institutional investors. As lenders, institutional investors routinely receive private information about borrowers. However, most of these investors also trade in public securities. This leads to a controversial question: Do institutional investors use private information acquired in the loan market to trade in public securities? This paper examines the stock trading of institutional investors whose portfolios also hold loans. Using the Securities and Exchange Commission filings of loan amendments, we identify institutional investors with access to private information disclosed during loan amendments. We then look at abnormal returns on subsequent stock trades. We find that institutional participants in loan renegotiations subsequently trade in the stock of the same company and outperform trades by other managers and trades in other stocks by approximately 5.4% in annualized terms. (C) 2010 Elsevier B.V. All rights reserved.