A Generalized Econometric Model and Tests of a Signalling Hypothesis with Two Discrete Signals
构建了一个包含两个离散信号的一般化计量经济模型，推导理性决策规则，提出估计信号价格反应的简单方法，并用于检验公司通过是否强制转换可转债来传递真实价值的假说。
ABSTRACT To test the major prediction of a signalling hypothesis‐that the market price is monotonic in the signal‐the price response to the signal must be measured. Since a signal is an outcome of a rational decision rule of the signaller, the market can infer the true type of the signaller from the signal. This necessitates estimation of the price response to the signal, conditional on the rational decision rule. Thus, the empirical models (e.g., event studies in corporate finance) that estimate the market price responses to signals without conditioning on the rational decision rules are misspecified if viewed as tests of the prediction of a signalling hypothesis. This paper builds a generalized econometric model with two possible discrete signals, derives the rational decision rules, presents a simple estimator of the price response to a signal, and illustrates its use in testing a recently expounded hypothesis that firms signal their true value by forcing or not forcing an outstanding convertible bond.