THE VALUATION OF COMPLEX DERIVATIVES BY MAJOR INVESTMENT FIRMS - EMPIRICAL-EVIDENCE

Authors
BERNARDO AE CORNELL B
Citation
Ae. Bernardo et B. Cornell, THE VALUATION OF COMPLEX DERIVATIVES BY MAJOR INVESTMENT FIRMS - EMPIRICAL-EVIDENCE, The Journal of finance, 52(2), 1997, pp. 785-798
Citations number
14
Categorie Soggetti
Business Finance
Journal title
The Journal of finance → ACNP
ISSN journal
00221082
Volume
52
Issue
2
Year of publication
1997
Pages
785 - 798
Database
ISI
SICI code
0022-1082(1997)52:2<785:TVOCDB>2.0.ZU;2-K
Abstract
This article examines the auction of a portfolio of collateralized mor tgage obligations (CMOs) to major broker dealers and institutional inv estors. The unique data set allows us to analyze a number of important empirical questions related to the valuation of CMOs by the bidders a nd the elasticity of demand for the securities. The results reveal tha t the valuations differ substantially implying a significant elasticit y of demand.