We propose a supplementary way to assess the information content of a financial statement disclosure based on the comovement of asset returns in different markets in response to information that has price implications for both. The influence of a signal that strongly influences at least two asset markets measures a dimension of information content less clearly reflected in single‐market responses. We apply our method to debt covenant violation (DCV) disclosures. These are the outcome of a debt renegotiation when the covenant promises in a debt agreement to manage the agency costs of debt are broken. We find that stock and bond return comovement is highest one day before DCV disclosure and differs depending on whether the debt covenant is waived or not waived. We find that stock and bond return comovement in the days following a DCV disclosure decreases more for non‐waiver disclosures than for waiver disclosures. This supports the theory that a non‐waiver outcome shifts control rights and bargaining power to the creditors. Consistent with this theory, single‐market tests show that bonds with a non‐waiver disclosure versus a waiver disclosure earn positive excess returns following a DCV disclosure whereas the reverse is true for stocks.

中文翻译：

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股票和债券收益率联动作为评估信息内容的另一种方式：违反债务契约规定的情况

我们提出了一种补充方法，根据对两个市场都有价格影响的信息，根据不同市场中资产收益的共同变动来评估财务报表披露的信息内容。强烈影响至少两个资产市场的信号的影响，衡量的是信息内容的维度，在单一市场的响应中反映得不太清楚。我们将我们的方法应用于违反债务契约（DCV）的披露。当债务协议中约定管理债务的代理费用的承诺违约时，这就是债务重新谈判的结果。我们发现，DCV披露前一天的股票和债券收益联动最高，并且根据债务契约是否被放弃而有所不同。我们发现，DCV披露后的几天，非豁免披露的股票和债券收益联动减少比豁免披露减少的更多。这支持以下理论：非放弃结果将控制权和讨价还价能力转移给债权人。与这一理论一致，单一市场测试表明，在DCV披露之后，具有非豁免披露与豁免披露的债券在获得正向收益时获得正的超额收益，而股票则相反。