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| Author: | Cici, G. Gibson, S. Merrick, J.J. Jr. |
| Title: | Missing the marks? Dispersion in corporate bond valuations across mutual funds |
| Journal: | Journal of Financial Economics
2011 : JUL, VOL 101:1 p. 206-226 |
| Index terms: | funds bonds valuation regulations bond yields debt |
| Language: | eng |
| Abstract: | This article investigates the dispersion of month-end valuations placed on identical corporate bonds by different mutual funds. Such dispersion is associated with bond-specific characteristics related to liquidity and market volatility. The Trade Reporting and Compliance Engine (TRADE) could have contributed to the general decline in dispersion over the the sample period in this study, although some factors played roles. It is revealed that marking patterns are consistent with returns smoothing behavior by managers. Funds with ambiguous marking policies and those holding "hard-to-mark" bonds appear more prone to smooth reported returns. From a regulatory perspective, little downside is seen to requiring funds to explicitly state their marking standards. |
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