Economics at your fingertips  

Asset mispricing

Kurt F. Lewis, Francis A. Longstaff and Lubomir Petrasek

Journal of Financial Economics, 2021, vol. 141, issue 3, 981-1006

Abstract: We use a unique sample of corporate bonds guaranteed by the full faith and credit of the US to test recent theories about why asset prices may diverge from fundamental values. A key feature of our study is access to proprietary data on the haircuts, funding costs, and inventory positions of the primary dealers making markets in the individual bonds. The results provide strong support for the cross-sectional implications of the safe-asset, intermediary-constraints, and search-frictions literatures. Furthermore, the results indicate that network topology may also play an important role in explaining mispricing.

Keywords: Guaranteed bonds; Safe assets; Intermediary constraints (search for similar items in EconPapers)
JEL-codes: G12 G18 (search for similar items in EconPapers)
Date: 2021
References: View references in EconPapers View complete reference list from CitEc
Citations: Track citations by RSS feed

Downloads: (external link)
Full text for ScienceDirect subscribers only

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link:

DOI: 10.1016/j.jfineco.2020.05.011

Access Statistics for this article

Journal of Financial Economics is currently edited by G. William Schwert

More articles in Journal of Financial Economics from Elsevier
Bibliographic data for series maintained by Catherine Liu ().

Page updated 2021-10-16
Handle: RePEc:eee:jfinec:v:141:y:2021:i:3:p:981-1006