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Transaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets
16 references·11 citing·41 second hop
Transaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets (2015)Transaction Costs, Trade Throughs, and Ri…How to Clean Enhanced TRACE Data (2013)How to Clean Enhanced TRACE D…Equity Trading in the 21st Century (2011)Equity Trading in the 21st Ce…Liquidity Biases in TRACE (2009)Liquidity Biases in TRACECorporate Bond Market Transaction Costs and Transparency (2007)Corporate Bond Market Transac…Transparency and Liquidity: A Controlled Experiment on Corporate Bonds (2006)Transparency and Liquidity: A…Secondary Trading Costs in the Municipal Bond Market (2006)Secondary Trading Costs in th…Market transparency, liquidity externalities, and institutional trading costs in corporate bonds☆ (2006)Market transparency, liquidit…Financial Intermediation and the Costs of Trading in an Opaque Market (2006)Financial Intermediation and …Securities and Exchange Commission (2004)Securities and Exchange Commi…Over-the-Counter Markets (2004)Over-the-Counter MarketsCorporate Bond Trading Costs: A Peek Behind the Curtain (2001)Corporate Bond Trading Costs:…An Empirical Study of Bond Market Transactions (2000)An Empirical Study of Bond Ma…Estimating the components of the bid/ask spread (1988)Estimating the components of …Continuous Auctions and Insider Trading (1985)Continuous Auctions and Insid…Bid, ask and transaction prices in a specialist market with heterogeneously informed traders (1985)Bid, ask and transaction pric…A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market (1984)A Simple Implicit Measure of …Do Municipal Bond Dealers Give Their Customers “Fair and Reasonable” Pricing? (2023)Do Municipal Bond Dealers Giv…Funding Liquidity and Market Liquidity: The Broker-Dealer Perspective (2021)Funding Liquidity and Market …Market Structure and Transaction Costs of Index CDSs (2020)Market Structure and Transact…Bitcoin spot and futures market microstructure (2020)Bitcoin spot and futures mark…Secondary Market Liquidity and Primary Market Pricing of Corporate Bonds (2019)Secondary Market Liquidity an…From Market Making to Matchmaking: Does Bank Regulation Harm Market Liquidity? (2019)From Market Making to Matchma…Asset Dissemination Through Dealer Markets (2018)Asset Dissemination Through D…Liquidity in a Market for Unique Assets: Specified Pool and To‐Be‐Announced Trading in the Mortgage‐Backed Securities Market (2017)Liquidity in a Market for Uni…The Volcker Rule and Market-Making in Times of Stress (2016)The Volcker Rule and Market-M…Market Structure and Transaction Costs of Index Cdss (2016)Market Structure and Transact…Common factors in corporate bond returns (2015)Common factors in corporate b…Efficient Capital Markets: A Review of Theory and Empirical Work (1970)EFFICIENT CAPITAL MARKETS: A REVIEW OF THEORY AND EMPIRICAL WORK* (1970)The Market for "Lemons": Quality Uncertainty and the Market Mechanism (1970)Investor Psychology and Security Market Under‐ and Overreactions (1998)Illiquidity and stock returns: cross-section and time-series effects (2002)Market Liquidity and Funding Liquidity (2008)Liquidity, Maturity, and the Yields on U.S. Treasury Securities (1991)A New Estimate of Transaction Costs (1999)Trading and Exchanges: Market Microstructure for Practitioners (2002)Corruption, Political Connections, and Municipal Finance (2009)Liquidity in Asset Markets With Search Frictions (2009)Momentum in Corporate Bond Returns (2013)Market microstructure theory (1995)Market Microstructure Theory. (1996)Market microstructure: A survey (2000)The Illiquidity of Corporate Bonds (2011)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Intermediary asset pricing: New evidence from many asset classes (2017)The Bargaining Problem (1950)Liquidity and Asset Prices (2006)Corporate bond liquidity before and after the onset of the subprime crisis (2011)The High-Frequency Trading Arms Race: Frequent Batch Auctions as a Market Design Response (2013)The Behavior of Stock-Market Prices (1965)Stock Market Prices Do Not Follow Random Walks: Evidence from a Simple Specification Test (1988)Efficient Capital Markets: II (1991)Formulation and estimation of stochastic frontier production function models (1977)Inside the black box: What explains differences in the efficiencies of financial institutions? (1997)Stochastic Frontier Analysis (2000)Illiquidity or credit deterioration: A study of liquidity in the US corporate bond market during financial crises (2012)The Cost of Transacting (1968)Equity Volatility and Corporate Bond Yields (2003)The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2010)Regulatory pressure and fire sales in the corporate bond market (2011)Are green bonds priced differently from conventional bonds? (2018)Minimum Price Variations, Discrete Bid–Ask Spreads, and Quotation Sizes (1994)Corporate Yield Spreads and Bond Liquidity (2007)Capital Commitment and Illiquidity in Corporate Bonds (2018)Market microstructure and asset pricing: On the compensation for illiquidity in stock returns (1996)Alternative factor specifications, security characteristics, and the cross-section of expected stock returns1We are especially grateful to Eugene Fama (a referee), an anonymous referee and Bill Schwert (the editor) for insightful and constructive suggestions. We also thank Wayne Ferson, Ken French, Will Goetzmann, Craig Holden, Ravi Jagannathan, Bob Jennings, Bruce Lehmann, Josef Lakonishok, Richard Roll, participants at the 1997 Meetings of the Western Finance Association, the 1997 UCLA/USC/UC Irvine conference, the November 1997 Asset Pricing Meeting of the National Bureau of Economic Research, the Atlanta Forum, and seminars at Columbia, Indiana, Florida, New York, Tulane, and Yale Universities; Eugene Fama and Ken French for providing part of the data used in this study; and Christoph Schenzler for excellent programming assistance. The second author acknowledges support from the Dean's Fund for Research and the Financial Markets Research Center at Vanderbilt University. We are responsible for remaining errors. This paper was formerly titled `A Re-Examination of Security Return Anomalies'.1 (1998)Liquidity and stock returns: An alternative test (1998)Noise Trader Risk in Financial Markets (1990)
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References

  • 1985Continuous Auctions and Insider Trading9,626 cited
  • 1985Bid, ask and transaction prices in a specialist market with heterogeneously informed traders6,132 cited
  • 1984A Simple Implicit Measure of the Effective Bid-Ask Spread in an Efficient Market2,748 cited
  • 1988Estimating the components of the bid/ask spread1,612 cited
  • 2004Over-the-Counter Markets1,199 cited
  • 2007Corporate Bond Market Transaction Costs and Transparency966 cited
  • 2006Market transparency, liquidity externalities, and institutional trading costs in corporate bonds☆571 cited
  • 2006Transparency and Liquidity: A Controlled Experiment on Corporate Bonds472 cited
  • 2006Financial Intermediation and the Costs of Trading in an Opaque Market379 cited
  • 2006Secondary Trading Costs in the Municipal Bond Market376 cited
  • 2009Liquidity Biases in TRACE372 cited
  • 2001Corporate Bond Trading Costs: A Peek Behind the Curtain343 cited
  • 2000An Empirical Study of Bond Market Transactions324 cited
  • 2011Equity Trading in the 21st Century294 cited
  • 2004Securities and Exchange Commission287 cited
  • 2013

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How to Clean Enhanced TRACE Data
226 cited

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  • 2019Secondary Market Liquidity and Primary Market Pricing of Corporate Bonds51 cited
  • 2020Bitcoin spot and futures market microstructure44 cited
  • 2023Do Municipal Bond Dealers Give Their Customers “Fair and Reasonable” Pricing?42 cited
  • 2016The Volcker Rule and Market-Making in Times of Stress41 cited
  • 2015Common factors in corporate bond returns36 cited
  • 2016Market Structure and Transaction Costs of Index Cdss34 cited
  • 2019From Market Making to Matchmaking: Does Bank Regulation Harm Market Liquidity?28 cited
  • 2018Asset Dissemination Through Dealer Markets19 cited