Suchergebnisse

AbstractWe analyze the relatively new phenomenon of credit ratings on syndicated loans, asking first whether they convey information to the capital markets. Our event studies show that initial loan ratings and upgrades are not informative, but downgrades are. The market anticipates downgrades to some extent, however. We also examine whether public information reflecting borrower default characteristics explains cross‐sectional variation in loan ratings and find that ratings are only partially predictable. Our evidence suggests that loan and bond ratings are not determined by the same model. Finally, we estimate a credit spread model incorporating bank loan ratings and other factors reflecting default risk, information asymmetry, and agency problems. We find that ratings are related to loan rates, given the effect of other influences on yields, suggesting that ratings provide information not reflected in financial information. Ratings may capture idiosyncratic information about recovery rates, as each of the agencies claims, or information about default prospects not available to the market.

AbstractWe compare price efficiency between auction and bookbuilding initial public offerings (IPOs). Our empirical results fail to support the prevailing conjecture that bookbuilding IPOs are more price efficient than auction IPOs. We find statistical insignificance between two IPO samples or weak evidence for the opposite hypothesis. We add to the evidence that auctions yield aftermarket price efficiency equal to that of bookbuilding or are statistically indifferent when measured by market microstructure and Center for Research in Security Prices (CRSP) data. We also examine whether underlying price efficiency forces reflect the relative presence of informed institutional and retail investors, aftermarket price support, and divergence of investor expectations.

This study examines bank practices of corporate loan pricing in the Asia‐Pacific region. We find that the all‐in‐spread for loans (mostly term loans with longer maturities) in the Asia‐Pacific region are significantly smaller than those in the US. In addition, foreign banks tend to price their loans favorably in the Asia‐Pacific region, while foreign banks in the US have a higher loan spread. This finding indicates that foreign banks foster more competitive loan pricing in the Asia‐Pacific region, while foreign banks in the US seem to experience a competitive disadvantage compared to domestic lenders.

AbstractMost initial public offerings (IPOs) feature "lockup" agreements, which bar insiders from selling the stock for a set period following the IPO, usually 180 days. We examine stock price behavior in the period surrounding lockup expiration for a sample of 2,529 firms from 1988 to 1997. We find that lockup expirations are, on average, associated with significant and negative abnormal returns, but the losses are concentrated in firms with venture capital backing. For the venture‐capital‐backed group, the largest losses occur for high‐tech firms and firms with the greatest post‐IPO stock price increases, the largest relative trading volume in the period surrounding expiration, and the highest quality underwriters.JEL classification: G14, G24