The Valuation of Complex Derivatives by Major Investment Firms: Empirical Evidence
利用抵押贷款担保债券组合拍卖的独特数据，分析主要交易商和机构投资者的估值差异及需求弹性，发现估值差异显著且需求弹性较大。
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.