Informational eﬃciency of loans versus bonds: Evidence from secondary market prices - December 2004

Số trang: 45 Loại file: pdf Dung lượng: 259.13 KB Lượt xem: 16 Lượt tải: 0

tailieu_vip

Phí tải xuống: 10,000 VND

Xem trước 5 trang đầu tiên của tài liệu này:

Thông tin tài liệu:

Our bond price dataset is from the Salomon (now Citigroup) Yield Book. We extracteddaily prices for all the companies for which we have loans in the loan price dataset. We have386,171 bond-day observations spanning 816 bonds. For robustness, we also created anotherbond price dataset from Datastream for a subset of bonds, containing 91,760 bond-dayobservations spanning 248 bonds.We received the loan defaults data from Portfolio Management Data (PMD), a businessunit of Standard & Poors which has been tracking loan defaults in the institutional loan mar-ket since 1995. We veriﬁed these dates in Lexis/Nexis and conﬁrmed that they correspondto a missed interest...
Nội dung trích xuất từ tài liệu:
Informational eﬃciency of loans versus bonds: Evidence from secondary market prices - December 2004