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

• 成果类型: Article
• 署名作者: Cici, Gjergji; Gibson, Scott; Merrick, John J., Jr.
• 署名单位: William & Mary; University of Cologne
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2011.02.001
• 发表日期: 2011
• 页码: 206-226
• 关键词: mutual funds; bonds; valuation; Fair value; Corporate bond funds

摘要

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. The Trade Reporting and Compliance Engine (TRACE) could 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. (C) 2011 Elsevier B.V. All rights reserved.