W&M School of Business Finance Professors' Paper on Corporate Bond Valuation Selected For Best Paper Award at Western Finance Association Conference

WIILIAMSBURG --Three professors at the Mason School of Business have co-authored an award winning paper in financial research.

Professors Gjergji Cici, Scott Gibson, and John Merrick received the Society of Quantitative Analysts Award for the best paper in quantitative investments at the Western Finance Association Conference.

"The issues we are studying are of particular significance in light of the recent colossal pricing mistakes made by large financial institutions and the current efforts of regulators aimed at making the process of security pricing by financial institutions as transparent as possible," said Professor Cici.

Their paper, "Missing the Marks: Dispersion in Corporate Bond Valuations Across Mutual Funds" examines the cross-fund pricing dispersion of individual bonds and finds that marking corporate bonds is hard. The dispersion of bond valuations across funds is related to bond-specific characteristics typically associated with market liquidity and value uncertainty.  This dispersion is lower for higher credit quality bonds; higher for longer maturity bonds; and lower for larger-sized issues.  The study also finds clear evidence that the increase in corporate bond market transparency generated by the Financial Regulatory Authority's (FINRA) Trade Reporting and Compliance Engine (TRACE) system has benefited the market more generally by increasing bond valuation precision. 

The study holds practical value for a group of diverse group of stakeholders, including bond trading firms, fund managers, fund investors and regulators.

"The credit crisis is forcing investment managers, investors, accountants and regulators to recognize the inherent difficulties in valuing illiquid securities," said Professor Merrick. He added, "Our research suggests that market-wide dissemination of prices on all transactions in such securities would help move us from mark-to-myth closer to true mark-to-market valuations."

The annual conference is highly regarded as one of the pre-eminent conferences devoted to research in finance, its application and its development. The best paper award represents significant achievement in this area.

"Professors Cici, Gibson, and Merrick are top scholar-teachers in the best tradition of W&M," commented Dean Lawrence B. Pulley.  "I congratulate them on the recognition by their finance colleagues of the timeliness and importance of their work.  This is a great honor for them and for us." 

For a summary of the research, go to: /Mason/Faculty+Research/Research/

To read the abstract, download the paper, or find additional citations for Professors, Cici, Gibson, or Merrick go to the SSRN website,


The Western Finance Association is a professional society administered in the United States and Canada for academicians and practitioners with a scholarly interest in the development and application of research in finance.

Its purpose is three-fold: (1) to serve as a focal point for communication among members, (2) to improve teaching and scholarship, and (3) to provide for the dissemination of information, including the holding of meetings and the support of publications.