The role of information asymmetry and financial reporting quality in debt trading: Evidence from the secondary loan market

• 成果类型: Review
• 署名作者: Wittenberg-Moerman, Regina
• 署名单位: University of Chicago
• 刊物名称: JOURNAL OF ACCOUNTING & ECONOMICS
• ISSN/ISSBN: 0165-4101
• DOI: 10.1016/j.jacceco.2008.08.001
• 发表日期: 2008
• 关键词: bond price data; unconditional conservatism; accounting conservatism; capital structure; RISK-MANAGEMENT; to-book; earnings; ask; cost; Timeliness

摘要

I explore which firm and loan characteristics decrease or exacerbate information asymmetry in the trading of private debt. I find that loans of public firms, loans with an available credit rating, loans of profit firms and loans syndicated by more reputable arrangers are traded at lower bid-ask spreads, while revolvers, distressed loans and loans issued by institutional investors are associated with higher information costs. I also find that timely loss recognition reduces the bid-ask spread. This finding suggests that conservative reporting decreases information asymmetry regarding a borrower and increases the efficiency of the secondary trading of debt Securities. (C) 2008 Elsevier B.V. All rights reserved.