8bis Ivanov Discussion PI

Discussion The Evolution of Investor Information: Evidence from Public Security Offerings Plamen Ivanov Economics Depart...

0 downloads 34 Views 289KB Size
Discussion The Evolution of Investor Information: Evidence from Public Security Offerings Plamen Ivanov Economics Department, FCA

Summary • Does market information about listed companies improve around the time they enter the capital markets? • Δ Analyst Coverage (number) • Δ Amihud Price Impact – Daily average over a year • Proportional Spread – Daily average over a year

• Does the this improved information translate into a lower funding cost? • Δ in Jensen’s alpha (CSRP four factor FF-model)

• Does the level of regulatory scrutiny matter? • Traditional vs Shelf Registration

• Does the form of capital matter? • Seasoned Debt vs Seasoned Equity Offerings

• Does the frequency of access matter? • Frequent vs Infrequent Issuers

Set-up • Time periods • 1991-2000 – pre-decimalisation • 2001-2010, 2011-2015 – post-decimalisation

• Fixed Effects • Industry • Year

• Controls • Equity Volume • Price • Market Cap

• Sub-sample • All companies publicly listed companies for which there’s data • vs Non-Banks

Some suggestions • Does market information about listed companies improve around the time they enter the capital markets? • Δ Accuracy of Coverage (dispersion of analyst earnings prediction vs actual earnings) • Δ Information content of other company actions (abnormal return following earnings announcements or trade updates)

• Does the level of regulatory scrutiny matter?

• Was there an actual SEC review? • Internal data? • Registration statements filed by well-known seasoned issuers in connection with a shelf takedown

• Does the this improved information translate into a lower funding cost? • Credit Rating / Debt Spreads? • Measures of company leverage

• Time periods

• Also captures other equity market microstructure effects

• Controls

• Index Inclusion • Free float