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

Arbeitspapier

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.

Object Details

• Language: Englisch

References and Relationships

• Bibliographic citation: Series: CFR working paper ; No. 10-20

Classification and Topics

• Classification: Wirtschaft
• Subject: Rentenfonds ; Industrieobligation ; Kapitalertrag ; Bewertung ; Portfolio-Management ; Benchmarking ; Schätzung ; USA

Contributors, Places and Time

• Event: Geistige Schöpfung
• (who): Cici, Gjergji ; Gibson, Scott ; Merrick, John J.
• Event: Veröffentlichung
• (who): University of Cologne, Centre for Financial Research (CFR)
• (where): Cologne
• (when): 2010

Further information

• Handle: http://hdl.handle.net/10419/43705
• Last update: 10.03.2025, 11:43 AM CET