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. TRACE may have contributed to the general decline in dispersion over our...

This paper investigates the trading behavior of major market participants - both dealers and customers - during the six-month period of a well-publicized market manipulation episode: an attempted delivery squeeze in a bond futures contract traded in London. The analyses are based on a rich...

The Russian GKO default crisis provides a unique window into the impact of changing default probabilities and recovery ratio assumptions on credit-sensitive sovereign bond prices. This paper introduces a joint implied parameter approach to extract both the expected recovery ratio and the default...

This paper examines the spreading and pricing of short-term interest rate futurescontracts and shows how traditional types of calendar spread positions can emerge as explicit arbitrage solutions. A specific set of intuitive spreading structures - quot;Pascal's Spreading Trianglequot; arises when...

This paper examines liquidity in the Spanish Treasury bond market in the context of debt policy shifts engineered by the Spanish government in preparation for entrance into European Monetary Union. Empirically detectable impacts of Spain's mid-1997 debt management initiatives exist for both...

This study explores the strategic interaction between large institutional investors and firms that issue put options written on their own stock. The firms experience large positive abnormal annual returns after they sell put options. The vast majority of issued put options expire without being...

This paper develops a model that combines features of portfolio theory and corporate governance research. The model analyzes the problem of how large investors form optimal equity portfolios when the return on each investment depends on the size the investment. The optimal solution counterweighs...

Using data from the Bulgarian mass privatization auctions, we analyze the bids submitted by institutional investors for shares in newly privatized firms. The results support the hypothesisthat there are private benefits of control that accrue to large blockholders. Institutions with ex ante...

This paper examines the relation between the performance and valuations of publicly-traded subsidiaries in the United States and the ownership stake of their parent companies. Cross-sectional and time-series tests demonstrate that subsidiaries in which the parent owns a substantial minority...

This study examines the emergence of the Bulgarian stock market and the role of controlling blockholders. A new approach using mass privatization auction data measures the premium for control and demonstrates that, in the absence of legal constraints, majority owners extract more than 85% of...