Arbeitspapier

Missing the marks? Dispersion in corporate bond valuations across mutual funds

We study the dispersion of month-end valuations placed on identical corporate bonds by different mutual funds. Such dispersion is related to bond-specific characteristics associated with liquidity and market volatility. TRACE may have contributed to the general decline in dispersion over our sample period, though other factors most likely played roles. Further tests reveal marking patterns to be consistent with returns smoothing behavior by managers. Funds with ambiguous marking policies and those holding 'hard-to-mark' bonds appear more prone to smooth reported returns. From a regulatory perspective, we see little downside to requiring funds to explicitly state their marking standards.

Sprache
Englisch

Erschienen in
Series: CFR working paper ; No. 10-20

Klassifikation
Wirtschaft
Thema
Rentenfonds
Industrieobligation
Kapitalertrag
Bewertung
Portfolio-Management
Benchmarking
Schätzung
USA

Ereignis
Geistige Schöpfung
(wer)
Cici, Gjergji
Gibson, Scott
Merrick, John J.
Ereignis
Veröffentlichung
(wer)
University of Cologne, Centre for Financial Research (CFR)
(wo)
Cologne
(wann)
2010

Handle
Letzte Aktualisierung
10.03.2025, 11:43 MEZ

Datenpartner

Dieses Objekt wird bereitgestellt von:
ZBW - Deutsche Zentralbibliothek für Wirtschaftswissenschaften - Leibniz-Informationszentrum Wirtschaft. Bei Fragen zum Objekt wenden Sie sich bitte an den Datenpartner.

Objekttyp

  • Arbeitspapier

Beteiligte

  • Cici, Gjergji
  • Gibson, Scott
  • Merrick, John J.
  • University of Cologne, Centre for Financial Research (CFR)

Entstanden

  • 2010

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