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We estimate the slope of the demand curve for newly auctioned FHLB discount notes and investigate the impacts of arbitrage risk and heterogeneity of investor beliefs on demand elasticity. Our unique dataset of roughly 2,900 observations of two price-quantity pairs - the first from a pre-auction...
Persistent link: https://www.econbiz.de/10013134464
We find that small buy trades of U.S. agency mortgage-backed securities (MBS) are priced 3%-8% lower than large sell trades. No such “crossing” exists in corporate bonds and agency debentures. We attribute the MBS price patterns to impediments to position aggregation in combination with...
Persistent link: https://www.econbiz.de/10013008204
We study potential fraudulent mismarking of newly purchased odd lot and two classes of round lot positions in structured products. Such mismarking artificially inflates net asset values and overstates cumulative returns. Applied to mutual funds launched after January 2010, a simulation-tested...
Persistent link: https://www.econbiz.de/10012849102
Investment bankers focus on narrow, industry-based peer groups for individual stock valuation. And some market-neutral equity hedge fund managers restrict their portfolios to be sector-neutral as well. Yet, academic research into contrarian strategy investment performance has typically invoked...
Persistent link: https://www.econbiz.de/10013116936
We analyze the dispersion of month-end prices simultaneously placed on identical corporate bonds by different US mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit's CDS database. Disseminated bonds show large and statistically significant...
Persistent link: https://www.econbiz.de/10013074305
We analyze the dispersion of month-end price marks simultaneously placed on identical corporate bonds by different US mutual fund managers before and after initiations of TRACE and introductions of issuers into Markit's CDS database. Disseminated bonds show large and statistically significant...
Persistent link: https://www.econbiz.de/10012988746
Persistent link: https://www.econbiz.de/10001780130
This online appendix contains additional results for Atanasov and Black (2018, The Trouble with Instruments: The Need for Pre-Treatment Balance in Shock-IV Designs (Trouble with Instruments). Part 1 of the Appendix provides an extended checklist for implementing shock-IV designs. Part 2...
Persistent link: https://www.econbiz.de/10012902742
Credible causal inference in accounting and finance research often comes from “natural” experiments. These experiments can be exploited using several “shock-based” research designs, including difference-in-differences (DiD), instrumental variables based on the shock (shock-IV), and...
Persistent link: https://www.econbiz.de/10012904957
Insiders (managers and controlling shareholders) can extract (tunnel) wealth from firms using a variety of methods. This article examines the different ways in which U.S. law limits, or fails to limit, three types of self-dealing transactions – cash flow tunneling, asset tunneling, and equity...
Persistent link: https://www.econbiz.de/10013132459