Equity Price Discovery with Informed Private Debt
研究发现股票市场未能反映银团贷款参与者掌握的、已体现在贷款价格中的非公开信息，基于贷款价格变动的多空策略能获得显著风险调整收益，表明同一公司资本结构存在分割。
Abstract Equity markets fail to account for the value-relevant nonpublic information enjoyed by syndicated loan participants and reflected in publicly posted loan prices. A long-short strategy that buys (sells) the equities of firms with recently appreciated (depreciated) loans earns large risk-adjusted returns, suggesting a surprising and economically important level of segmentation across the same firm’s capital structure. The information lag captured by trading strategy returns is not affected by drivers of firm-specific attention, including the publication of loan returns in the Wall Street Journal. Instead, returns to the strategy are eliminated among equities held by mutual funds also trading in syndicated loans. Authors have furnished an Internet Appendix, which is available on the Oxford University Press Web site next to the link to the final published paper online.