This paper examines the price reaction of loans relative to bonds prior to and surrounding information intensive events, such as corporate (loan and bond) defaults, and bankruptcies using a unique dataset of daily secondary market prices of loans. Specifically, we find that risk-adjusted loan...

This paper presents a model to study the transmission of liquidity shocks across financial institutions through the creditor channel. In the model, a borrower institution obtains funds from a large institutional lender and small investors. When the large lender's asset market is hit by a...

In this paper, we seek empirical evidence for information rents in loan spreads by analyzing a sample of UK syndicated loan contracts for the period from 1996 to 2005. We use various measures for borrower opaqueness and control for bank, borrower and loan characteristics and we find that...

When a borrowing firm's existing loans trade for the first time in the secondary loan market, it elicits a significant positive stock price response by the borrowing firm's equity investors. We show that underlying this response is the impact of loan sales in alleviating a borrowing firm's...

This paper documents significantly negative stock price reactions to shareholder initiated class action lawsuits. We find that shareholders partially anticipate these lawsuits based on lawsuit filings against other firms in the same industry and capitalize part of these losses prior to a lawsuit...

Do rating models embody correctly the impact of macroeconomic variables on debtors’ solvency, determining a lag in downgrading? In pre-crisis periods, when interest rates increases are recorded as well as decreases in real growth rates, rating assessments fail to register risk increases in...

We investigate the pricing implications of the parallel trading of loans and bonds of the same firm. We show that loan, by making lenders share sensitive information about the borrower with the loan market participants, lower the information advantage of the asset managers affiliated to the...

Which investor class causes stock price anomalies? Are individual investors responsible for prices that deviate from fundamental value? We address these questions in the context of a specific anomaly, that of stock price 'bubbles.' Using data from the Australian Stock Exchange Clearinghouse...

Socially responsible investors are similar to conventional investors in some ways but different in others. Like conventional investors, socially responsible investors want high returns and low risk, but socially responsible investors also want their portfolios to conform to their values, whether...

What do we know about socially responsible investments? What distinguishes socially responsible companies from conventional companies? Should investors expect socially responsible investments to yield higher or lower returns than conventional investments? What has been the performance of...