Universität zu Köln

Cici, Gjergji, Gibson, Scott, Gunduz, Yalin and Merrick, John J., Jr. (2015). Market Transparency and the Marking Precision of Bond Mutual Fund Managers. J. Portf. Manage., 41 (2). S. 126 - 138. NEW YORK: INST INVESTOR INC. ISSN 2168-8656

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Abstract

The validity of the price marks placed on bonds for valuation purposes is important for a diverse group of stakeholders, including investors, mutual fund managers, dealers, pricing services, and financial regulators. The authors analyze the dispersion of month-end price marks simultaneously placed on identical corporate bonds by different U.S. mutual fund managers, before and after TRACE dissemination and issuer introductions into Markit's Credit Default Swap spread database. The authors find large and statistically significant decreases in newly disseminated bonds around key TRACE system rollout events. Dispersion for large, investment-grade bonds fell 20% to 83% after the start of TRACE reporting. They also find evidence of spillover effects for non-disseminated bonds. During the pre-TRACE period, some evidence that mark dispersion fell for investment-grade issuers after introductions into Markit's database is reported. The results provide support for the idea that the TRACE transparency initiative reduced information inequality within the market's institutional side. The original NASD concern about people operating largely in the dark effectively applied to professional fund managers.

Item Type:	Journal Article
Creators:	Creators Email ORCID ORCID Put Code Cici, Gjergji UNSPECIFIED UNSPECIFIED UNSPECIFIED Gibson, Scott UNSPECIFIED UNSPECIFIED UNSPECIFIED Gunduz, Yalin UNSPECIFIED UNSPECIFIED UNSPECIFIED Merrick, John J., Jr. UNSPECIFIED UNSPECIFIED UNSPECIFIED
URN:	urn:nbn:de:hbz:38-386664
DOI:	10.3905/jpm.2015.41.2.126
Journal or Publication Title:	J. Portf. Manage.
Volume:	41
Number:	2
Page Range:	S. 126 - 138
Date:	2015
Publisher:	INST INVESTOR INC
Place of Publication:	NEW YORK
ISSN:	2168-8656
Language:	English
Faculty:	Unspecified
Divisions:	Unspecified
Subjects:	no entry
Uncontrolled Keywords:	Keywords Language CREDIT DEFAULT SWAPS; CORPORATE-BONDS; EMPIRICAL-ANALYSIS; LIQUIDITY; COSTS Multiple languages Business, Finance Multiple languages
URI:	http://kups.ub.uni-koeln.de/id/eprint/38666