Event Details

Accounting and Finance, Finance seminar presented by Professor Jennie Bai, Georgetown University. Paper title: "The Value of Data to Fixed Income Investors"

Jennie Bai: Georgetown University

Abstract

We develop a structural model to quantify the value of data to fixed income investors and analyze its key determinants. The model posits that data confers greater value for bonds exhibiting higher volatility and higher prevalence of price-insensitive liquidity trades. Our empirical findings indicate that during normal periods, the value of data increases with bond yield, time-to-maturity, issue size, callability, liquidity, and uncertainty. However, these cross-sectional differences dissipate during financial crises. Employing a regression discontinuity design based on bond maturity, we provide causal evidence that investor composition has a pronounced impact on the value of data.

JEL Classification: G14, G22, G23, D80

Keywords: value of data, information, fixed income, corporate bond, mutual fund