This paper examines the impact of a policy targeting firms with implicit government guarantees (IGGs). We focus on the debt management policy (DMP) proposed for state-owned enterprises in China. Our analysis shows that the DMP lowered the average yield of SOE bonds by 6.6 basis points. However, when accounting for the information effect of the policy announcement, the DMP’s impact ranged from 6.6 to 32.1 basis points. Our findings reveal that the information effect weakened the intended effect of the DMP and increased the average bond yields of both private-owned enterprises. We emphasize the need for policymakers to carefully design their policy communication to mitigate the information effect and consider the response of the financial market.