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. We analyze the dispersion of monthend price marks simultaneously placed on...

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...

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...

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 is the first study of corporate-bond mutual fund performance that examines detailed security-level holdings and returns. The new database allows us to decompose the costs and benefits of active management. In contrast to prior research on equity funds that shows evidence of stock-selection...

We evaluate how different betas and characteristics related to default, term, and liquidity risk fare against one another in explaining the cross-section of corporate bond returns. We find that characteristics-credit rating, duration, and Amihud illiquidity measure-fare better. Yields add...

Using a novel return-based method to detect allocations of corporate bond offerings, which are underpriced on average, we find that mutual funds most active in the primary market generate significant alpha and outperform those that are less active. Our evidence suggests that underwriters direct...

This paper tests whether an increase or decrease of the capital surcharge for being a global systemically important bank (G-SIB) envisaged by regulators has an impact on the CDS prices of these banks. We find evidence that the CDS spreads of a G-SIB bank increase (decrease) after the...

This paper provides initial evidence on counterparty risk-mitigation activities of financial institutions on the basis of Depository Trust and Clearing Corporation's (DTCC) proprietary bilateral credit default swap transactions and positions. We show that financial institutions that are active...

We document that, on average, U.S. equity mutual funds prefer realizing capital losses rather than capital gains. A substantial fraction of the sample, however, exhibits the opposite tendency of realizing gains more readily than losses. The documented tendency for this subset appears to be due...