Cici, Gjergji; Gibson, Scott; Merrick Jr., John J. - In: Journal of Financial Economics 101 (2011) 1, pp. 206-226
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...