Bond analyses invariably contain the assumption that reported bond prices are true prices or close approximations of them. The authors test the reliability of bond price data.
Bond analyses invariably contain the assumption that reported bond prices are true prices or close approximations of them. The authors test the reliability of bond price data. They find that there are differences between the CRSP Government Bond File and the Shearson Lehman Brothers Government Bond Price File, and that the differences are systematically related to bond data liquidity. The quality of reported price data deteriorates as bonds become less liquid, affecting measures of risk, return, and performance.