Asset mispricing

• 成果类型: Article
• 署名作者: Lewis, Kurt F.; Longstaff, Francis A.; Petrasek, Lubomir
• 署名单位: Federal Reserve System - USA; Federal Reserve System Board of Governors; University of California System; University of California Los Angeles; National Bureau of Economic Research
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.05.011
• 发表日期: 2021
• 页码: 981-1006
• 关键词: Guaranteed bonds; Safe assets; Intermediary constraints

摘要

We use a unique sample of corporate bonds guaranteed by the full faith and credit of the US to test recent theories about why asset prices may diverge from fundamental values. A key feature of our study is access to proprietary data on the haircuts, funding costs, and inventory positions of the primary dealers making markets in the individual bonds. The results provide strong support for the cross-sectional implications of the safe-asset, intermediary-constraints, and search-frictions literatures. Furthermore, the results indicate that network topology may also play an important role in explaining mispricing. (c) 2021 Elsevier B.V. All rights reserved.