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http://hdl.handle.net/10419/43705
  
Title:Missing the marks? Dispersion in corporate bond valuations across mutual funds PDF Logo
Authors:Cici, Gjergji
Gibson, Scott
Merrick, John J.
Issue Date:2010
Series/Report no.:CFR working paper 10-20
Abstract: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.
Document Type:Working Paper
Appears in Collections:CFR Working Papers, Centre for Financial Research (CFR), Universität Köln

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