Oh, Natalie
[Verfasser:in]
;
Parwada, Jerry T.
[Sonstige Person, Familie und Körperschaft];
Tan, Eric K. M.
[Sonstige Person, Familie und Körperschaft]
Erschienen in:25th Australasian Finance and Banking Conference 2012
Umfang:
1 Online-Ressource (61 p)
Sprache:
Englisch
DOI:
10.2139/ssrn.2131956
Identifikator:
Entstehung:
Anmerkungen:
Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments July 31, 2012 erstellt
Beschreibung:
We examine whether actively managed equity mutual funds trade on localised information events - syndicated loan covenant violations and changes in bank loan and entity ratings. Local investors achieve positive abnormal stock returns only around covenant violation periods rather than changes in credit ratings. Local investors appear to adjust their holdings at least three months prior to covenant violations. Mutual funds' holdings of local stocks and stocks affected by covenant violations predict higher performance. Finally, to identify the possible information channel utilized by local investors, we find that local investors learn from insiders' previous trades but not from their connection with syndicated loan network. Overall, our findings suggest that local investors have information advantages over distant counterparts due to their geography proximity to affected firms around credit events