50 Pages Posted: 25 Mar 2007 Last revised: 6 Mar 2015
Date Written: February 15, 2008
We study the determinants and market impact of sell-side debt research. Analyzing a sample of 5,920 debt reports published by fifteen brokerage firms from 1999 to 2004, we document that companies with a higher probability of financial distress, lower market-to-book ratio, larger debt, and higher leverage receive more debt research. In addition, we document higher frequency of debt reports around credit ratings downgrades and find that their publication impacts equity prices. The evidence enhances our understanding of the nature of the market forces shaping sell-side debt research and its effect on price formation.
Keywords: Debt, Information Intermediaries, Distress, Analyst
JEL Classification: G14, G24, G29,
Suggested Citation: Suggested Citation
By John Graham