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Please use this identifier to cite or link to this item:
http://hdl.handle.net/2451/26525
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| Title: | The Information Content of Quarterly Earnings in Syndicated Bank Loan Prices |
| Authors: | Allen, Linda
Guo, Hongtao
Weintrop, Joseph |
| Keywords: | earnings announcements
syndicated bank loans |
| Issue Date: | 29-Aug-2004 |
| Series/Report no.: | FIN-04-018 |
| Abstract: | We examine the information content of quarterly earnings announcements
in the syndicated bank loan market, a hybrid public/private debt market
that is exclusively comprised of informed institutional participants. In
contrast to the literature on equity price reactions to earnings
announcements, we find that bank loan returns experience no significant
response on earnings announcement dates. However, we do find significant
price movements in the secondary loan market four weeks prior to
earnings announcement dates, around the time of the monthly covenant
reports to members of the syndicate. Moreover, we find that the
information content in syndicated bank loan prices is most pronounced
for borrowers with predominantly intangible assets that experience
declining earnings. Thus, we find evidence that when earnings
announcements convey relevant information about the borrowing firm
(i.e., for informationally opaque firms with declining
creditworthiness), the syndicated bank loan market expeditiously
incorporates that information into prices. |
| URI: | http://hdl.handle.net/2451/26525 |
| Appears in Collections: | Finance Working Papers
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