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Reinventing Savings Bonds - Peter Tufano Daniel Schneider

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In general, we find that the loan market is informationally more efficient than the bond market prior to and in periods directly surrounding events, such as corporate (loan and bond) defaults, and bankruptcies. First, we find that loan prices fall more than bond prices of the same borrower prior to an event, even after adjusting for risk in an event study setting. Second, we find that loan prices fall less than bond prices of the same borrower on a risk- adjusted basis in the periods directly surrounding an event. Third, we find that our results are robust to alternative explanations which control for security-specific characteristics, such as.