The Valuation of Complex Derivatives by Major Investment Firms: Empirical Evidence

Antonio E Bernardo and Bradford Cornell

Journal of Finance, 1997, vol. 52, issue 2, 785-98

Abstract: This article examines the auction of a portfolio of collateralized mortgage obligations to major broker dealers and institutional investors. The unique data set allows the authors to analyze a number of important empirical questions related to the valuation of collateralized mortgage obligations 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. Copyright 1997 by American Finance Association.

Date: 1997
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Persistent link: https://EconPapers.repec.org/RePEc:bla:jfinan:v:52:y:1997:i:2:p:785-98

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