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- Title
The Valuation of Complex Derivatives by Major Investment Firms: Empirical Evidence.
- Authors
Bernardo, Antonio E.; Cornell, Bradford
- Abstract
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.
- Subjects
COLLATERALIZED mortgage obligations; DERIVATIVE securities; INSTITUTIONAL investors; ELASTICITY (Economics); SUPPLY &; demand; BROKERS
- Publication
Journal of Finance (Wiley-Blackwell), 1997, Vol 52, Issue 2, p785
- ISSN
0022-1082
- Publication type
Article
- DOI
10.1111/j.1540-6261.1997.tb04821.x