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The Valuation of Complex Derivatives by Major Investment Firms: Empirical Evidence
Author(s) -
BERNARDO ANTONIO E.,
CORNELL BRADFORD
Publication year - 1997
Publication title -
the journal of finance
Language(s) - English
Resource type - Journals
SCImago Journal Rank - 18.151
H-Index - 299
eISSN - 1540-6261
pISSN - 0022-1082
DOI - 10.1111/j.1540-6261.1997.tb04821.x
Subject(s) - valuation (finance) , empirical evidence , collateralized debt obligation , portfolio , elasticity (physics) , financial economics , business , economics , finance , philosophy , materials science , collateral , epistemology , composite material
This article examines the auction of a portfolio of collateralized mortgage obligations (CMOs) to major broker dealers and institutional investors. The unique data set allows us to analyze a number of important empirical questions related to the valuation of CMOs by the bidders and the elasticity of demand for the securities. The results reveal that the valuations differ substantially implying a significant elasticity of demand.