Investigation into the Determinants of Cross-Sectional Variation in the CDS-Bond Basis

This paper examines the CDS-Bond basis on S&P 100 reference entities in the period 2009-14. Specifically, this paper seeks to explain the cross-sectional variation in basis levels displayed by these entities. With few exceptions, prior work focuses on the aggregated basis level and what might cause this to deviate from the theoretical zero level. I choose to extend the literature by focusing on disaggregated data, on the individual basis levels of specific reference entities, and investigate why there is such significant disparity around the mean basis level. This paper finds that a vast proportion of cross-sectional variation in basis levels can be attributed to differentials in bond specific liquidity measures and disparity in funding related limits to arbitrage

The Multi-Object, Fiber-Fed Spectrographs for SDSS and the Baryon Oscillation Spectroscopic Survey

We present the design and performance of the multi-object fiber spectrographs for the Sloan Digital Sky Survey (SDSS) and their upgrade for the Baryon Oscillation Spectroscopic Survey (BOSS). Originally commissioned in Fall 1999 on the 2.5-m aperture Sloan Telescope at Apache Point Observatory, the spectrographs produced more than 1.5 million spectra for the SDSS and SDSS-II surveys, enabling a wide variety of Galactic and extra-galactic science including the first observation of baryon acoustic oscillations in 2005. The spectrographs were upgraded in 2009 and are currently in use for BOSS, the flagship survey of the third-generation SDSS-III project. BOSS will measure redshifts of 1.35 million massive galaxies to redshift 0.7 and Lyman-alpha absorption of 160,000 high redshift quasars over 10,000 square degrees of sky, making percent level measurements of the absolute cosmic distance scale of the Universe and placing tight constraints on the equation of state of dark energy. The twin multi-object fiber spectrographs utilize a simple optical layout with reflective collimators, gratings, all-refractive cameras, and state-of-the-art CCD detectors to produce hundreds of spectra simultaneously in two channels over a bandpass covering the near ultraviolet to the near infrared, with a resolving power R = \lambda/FWHM ~ 2000. Building on proven heritage, the spectrographs were upgraded for BOSS with volume-phase holographic gratings and modern CCD detectors, improving the peak throughput by nearly a factor of two, extending the bandpass to cover 360 < \lambda < 1000 nm, and increasing the number of fibers from 640 to 1000 per exposure. In this paper we describe the original SDSS spectrograph design and the upgrades implemented for BOSS, and document the predicted and measured performances.Comment: 43 pages, 42 figures, revised according to referee report and accepted by AJ. Provides background for the instrument responsible for SDSS and BOSS spectra. 4th in a series of survey technical papers released in Summer 2012, including arXiv:1207.7137 (DR9), arXiv:1207.7326 (Spectral Classification), and arXiv:1208.0022 (BOSS Overview

Investigation into the Determinants of Cross-Sectional Variation in the CDS-Bond Basis

This paper examines the CDS-Bond basis on S&P 100 reference entities in the period 2009-14. Specifically, this paper seeks to explain the cross-sectional variation in basis levels displayed by these entities. With few exceptions, prior work focuses on the aggregated basis level and what might cause this to deviate from the theoretical zero level. I choose to extend the literature by focusing on disaggregated data, on the individual basis levels of specific reference entities, and investigate why there is such significant disparity around the mean basis level. This paper finds that a vast proportion of cross-sectional variation in basis levels can be attributed to differentials in bond specific liquidity measures and disparity in funding related limits to arbitrage