Informed trading in public debt markets. (25th October 2017)

• Record Type: Journal Article
• Authors: Folkinshteyn, Daniel
• Is Part Of: Accounting and finance. Volume 59:Number 4(2019)
• Page Start: 2455
• Page End: 2478
• Publication Date: 2017-10-25
• Subjects: Bond market -- Earnings surprises -- Informed trading -- Public debt; Accounting -- Periodicals; Finance -- Periodicals; 657.05
• DOI: 10.1111/acfi.12305
• Languages: English
• ISSNs: 0810-5391

Abstract

Abstract: This study examines the occurrence of informed trading in public debt issued by companies in the United States. I find that earnings surprises are positively associated with bond price changes prior to the release of financial report data to the public, for firms with non‐investment‐grade ratings. Additionally, I find that the effect appears to be driven by firms with publicly traded equity. Evidence further indicates an increase in trading activity during the time window between report period end date and filing date, for firms with larger earnings surprises.