Daniel Jacobs
University of Houston
Department of Economics
Post-Regulation
Turnover of All-Star analysts (Bagnoli, Watts and Zhang 2008)
Increase in forecast dispersion (Bailey et al. 2003)
Increase in independent research (Mohanram and Sunder 2006)
Use of new information channels (Yu and Webb 2017)
Split sample into firms that always have security analyst coverage and
never have security analyst coverage
Sample from 1994Q1-2006Q4
Firms must exist for whole sample length.
Timeline
ShortDebt
ShortDebtjt = (1)
ShortDebt + LongDebt
ShortDebt
ShortDebtjt = (1)
ShortDebt + LongDebt
U (V1 , V2 ) = V1 + V2 (5)
where Vi is the value of firm in period i=1,2.
Two projects:
1 S=
e S(K1 )
2 Lb = θL(K2 ) where θ ∼ U[θ, θ]
Complete model
Complete model
Model should demonstrate disclosure mechanism and information
gathering mechanism
Sensitivity tests for firms with coverage
Potential effect of coverage or analyst under/overreaction
Potentially consider firms that lose and gain coverage post-RegFD
Extend tests to consider different debt maturity lengths.
Pre-RegFD
Reg SHO
1994Q1 2000Q3/RegFD 2005Q1 2006Q4
Quiet Bubble?
Daniel Jacobs (University of Houston Department
Information
of Economics)
Shocks and Debt Maturity October 10, 2017 26 / 31
Custodio, Claudia, Miguel A. Ferreira, and Luis Laureano. ”Why are US firms using more short-term debt?.” Journal of
Financial Economics 108, no. 1 (2013): 182-212.
Quiet Bubble?
Daniel Jacobs (University of Houston Department
Information
of Economics)
Shocks and Debt Maturity October 10, 2017 27 / 31
Parallel Trends - Excluding High-Tech
Parallel Trends
Parallel Trends
Daniel Jacobs (University of Houston Department
Information
of Economics)
Shocks and Debt Maturity October 10, 2017 29 / 31
Table: Short Debt-to-Total Debt with RegSHO - Full