Comparables Pricing

• 成果类型: Article
• 署名作者: Murfin, Justin; Pratt, Ryan
• 署名单位: Yale University; Brigham Young University
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhy047
• 发表日期: 2019
• 页码: 688
• 关键词: variables; MODEL

摘要

Finance professionals commonly set prices based on the analysis of recently closed, comparable transactions. Using data on syndicated loans, we exploit the lag between loans' closing dates and their inclusion in a widely used comparables database to identify the effect of past transactions on new transaction pricing. Comparables pricing is an important determinant of individual loan spreads, but a failure to account for overlap in information across loans leads to pricing mistakes. Comparables used repeatedly are overweighted as they develop redundant channels of influence on later transactions. Market conditions prevailing at the time a comparable was priced also unduly influence subsequent loans.