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Size Discount and Size Penalty: Trading Costs in Bond Markets
16 references·0 citing·45 second hop
Size Discount and Size Penalty: Trading Costs in Bond Markets (2024)Size Discount and Size Penalty: Trading C…Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440) (2023)Corrigendum: a preferred-habi…Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates (2014)Measuring the Effect of the Z…The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2010)The Same Bond at Different Pr…Liquidity in Asset Markets With Search Frictions (2009)Liquidity in Asset Markets Wi…Corporate Yield Spreads and Bond Liquidity (2007)Corporate Yield Spreads and B…Corporate 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…Market transparency, liquidity externalities, and institutional trading costs in corporate bonds☆ (2006)Market transparency, liquidit…Over-the-Counter Markets (2004)Over-the-Counter MarketsEconomic News and the Impact of Trading on Bond Prices (2004)Economic News and the Impact …Insider Trading, Liquidity, and the Role of the Monopolist Specialist (1989)Insider Trading, Liquidity, a…Price, trade size, and information in securities markets (1987)Price, trade size, and inform…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…Perfect Equilibrium in a Bargaining Model (1982)Perfect Equilibrium in a Barg…Optimal dealer pricing under transactions and return uncertainty (1981)Optimal dealer pricing under …Using daily stock returns (1985)Measuring the Information Content of Stock Trades (1991)Illiquidity and stock returns: cross-section and time-series effects (2002)In Search of Attention (2011)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)A Subordinated Stochastic Process Model with Finite Variance for Speculative Prices (1973)THE SUPPLY OF DEALER SERVICES IN SECURITIES MARKETS (1978)Dealership market (1980)Asset pricing and the bid-ask spread (1986)Market Liquidity and Funding Liquidity (2008)Market structure, information, futures markets, and price formation. (1984)Noise Trader Risk in Financial Markets (1990)Market microstructure theory (1995)Market Microstructure Theory. (1996)Market microstructure: A survey (2000)The Illiquidity of Corporate Bonds (2011)Credit Spreads and Business Cycle Fluctuations (2012)How Much of the Corporate-Treasury Yield Spread Is Due to Credit Risk? (2012)Rules Rather than Discretion: The Inconsistency of Optimal Plans (1977)Discretion versus policy rules in practice (1993)The Econometrics of Financial Markets (2012)Fiscal Volatility Shocks and Economic Activity (2015)Monetary Policy Surprises, Credit Costs, and Economic Activity (2015)Measuring the Macroeconomic Impact of Monetary Policy at the Zero Lower Bound (2016)The Bargaining Problem (1950)Two-Person Cooperative Games (1953)Reexamination of the perfectness concept for equilibrium points in extensive games (1975)The Costs and Benefits of Ownership: A Theory of Vertical and Lateral Integration (1986)An Introduction to Varieties of Capitalism (2001)Varieties of Capitalism (2001)The Cost of Transacting (1968)A New Estimate of Transaction Costs (1999)Equity Volatility and Corporate Bond Yields (2003)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Limited-dependent and qualitative variables in econometrics (1983)Common risk factors in the returns on stocks and bonds (1993)The Aggregate Demand for Treasury Debt (2012)Do Shareholders Benefit from Green Bonds? (2018)The effect of pro-environmental preferences on bond prices: Evidence from green bonds (2018)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)
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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
  • 1982Perfect Equilibrium in a Bargaining Model5,287 cited
  • 1987Price, trade size, and information in securities markets2,169 cited
  • 1981Optimal dealer pricing under transactions and return uncertainty1,391 cited
  • 2004Over-the-Counter Markets1,199 cited
  • 2007Corporate Yield Spreads and Bond Liquidity1,087 cited
  • 2007Corporate Bond Market Transaction Costs and Transparency966 cited
  • 2014Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates595 cited
  • 2006Market transparency, liquidity externalities, and institutional trading costs in corporate bonds☆571 cited
  • 1989Insider Trading, Liquidity, and the Role of the Monopolist Specialist517 cited
  • 2006Transparency and Liquidity: A Controlled Experiment on Corporate Bonds472 cited
  • 2004Economic News and the Impact of Trading on Bond Prices413 cited
  • 2010The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures405 cited
  • 2009Liquidity in Asset Markets With Search Frictions

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397 cited
  • 2023Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440)396 cited
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