The Information Externality of Public Firms’ Financial Information in the State‐Bond Secondary Market
研究发现上市公司盈利公告汇总到州层面后，能正向预测州债二级市场回报，且该信息独立于传统经济指标，对长期投资者和高信用风险债券持有人尤为显著，表明公司财务报告有助于缓解市政债市场的信息不透明。
ABSTRACT This study provides evidence on the role of public firms’ financial reports in the state‐bond secondary market. I investigate the informational role of corporate earnings announcements and find that public firms’ monthly earnings signals aggregated to the state level are positively associated with contemporaneous state‐bond returns. Further analyses reveal that public firms’ earnings announcements predict traditional economic indicators and contain incremental information that is independent of the traditional economic indicators. In cross‐sectional analyses, I show that the earnings–returns relation is especially pronounced when bondholders face longer investment horizons and higher credit risks. Taken together, the evidence indicates a positive externality of corporate financial reports in alleviating the opacity in the municipal bond secondary market.