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
