The valuation of complex derivatives by major investment firms: Empirical evidence

• 成果类型: Article
• 署名作者: Bernardo, AE; Cornell, B
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/j.1540-6261.1997.tb04821.x
• 发表日期: 1997
• 页码: 785-798
• 关键词: Shareholder heterogeneity

摘要

This article examines the auction of a portfolio of collateralized mortgage obligations (CMOs) to major broker dealers and institutional investors. The unique data set allows us to analyze a number of important empirical questions related to the valuation of CMOs by the bidders and the elasticity of demand for the securities. The results reveal that the valuations differ substantially implying a significant elasticity of demand.