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Size Discount and Size Penalty: Trading Costs in Bond Markets

https://doi.org/10.1093/rfs/hhae007
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What this work says

Outgoing claims: the papers this work cites, builds on, or argues with.

inferredcites →https://doi.org/10.1002/ijfe.351openalex-snapshot
What determines transaction costs in foreign exchange markets?
inferredcites →https://doi.org/10.1016/0165-1765(87)90173-xopenalex-snapshot
Bargaining games with a random sequence of who makes the offers
inferredcites →https://doi.org/10.1016/0304-405x(81)90020-9openalex-snapshot
Optimal dealer pricing under transactions and return uncertainty
inferredcites →https://doi.org/10.1016/0304-405x(85)90044-3openalex-snapshot
Bid, ask and transaction prices in a specialist market with heterogeneously informed traders
inferredcites →https://doi.org/10.1016/0304-405x(87)90029-8openalex-snapshot
Price, trade size, and information in securities markets
inferredcites →https://doi.org/10.1016/j.finmar.2017.05.004openalex-snapshot
The microstructure of a U.S. Treasury ECN: The BrokerTec platform
inferredcites →https://doi.org/10.1016/j.finmar.2018.01.002openalex-snapshot
Funding constraints and liquidity in two-tiered OTC markets
inferredcites →https://doi.org/10.1016/j.frl.2020.101911openalex-snapshot
Information sensitivity of corporate bonds: Evidence from the COVID-19 crisis
inferredcites →https://doi.org/10.1016/j.jbankfin.2018.05.013openalex-snapshot
The informational role of options markets: Evidence from FOMC announcements
inferredcites →https://doi.org/10.1016/j.jet.2016.11.001openalex-snapshot
Bilateral Trading in Divisible Double Auctions
inferredcites →https://doi.org/10.1016/j.jet.2023.105714openalex-snapshot
Market-making with search and information frictions
inferredcites →https://doi.org/10.1016/j.jfineco.2005.10.002openalex-snapshot
Market transparency, liquidity externalities, and institutional trading costs in corporate bonds☆
inferredcites →https://doi.org/10.1016/j.jfineco.2006.10.004openalex-snapshot
Dealer intermediation and price behavior in the aftermarket for new bond issues
inferredcites →https://doi.org/10.1016/j.jfineco.2007.01.003openalex-snapshot
The probability and magnitude of information events
inferredcites →https://doi.org/10.1016/j.jfineco.2008.03.006openalex-snapshot
Caught on tape: Institutional trading, stock returns, and earnings announcements
inferredcites →https://doi.org/10.1016/j.jfineco.2015.09.012openalex-snapshot
Can information be locked up? Informed trading ahead of macro-news announcements
inferredcites →https://doi.org/10.1016/j.jfineco.2017.01.003openalex-snapshot
The value of trading relations in turbulent times
inferredcites →https://doi.org/10.1016/j.jfineco.2018.06.009openalex-snapshot
The execution quality of corporate bonds
inferredcites →https://doi.org/10.1016/j.jfineco.2019.01.002openalex-snapshot
The information sensitivity of debt in good and bad times
inferredcites →https://doi.org/10.1016/j.jfineco.2019.04.002openalex-snapshot
The relevance of broker networks for information diffusion in the stock market
inferredcites →https://doi.org/10.1016/j.jfineco.2021.05.044openalex-snapshot
Treasury inconvenience yields during the COVID-19 crisis
inferredcites →https://doi.org/10.1016/j.jfineco.2021.05.049openalex-snapshot
Informed trading in government bond markets
inferredcites →https://doi.org/10.1016/j.jfineco.2021.05.052openalex-snapshot
Anatomy of a Liquidity Crisis: Corporate Bonds in the COVID-19 Crisis
inferredcites →https://doi.org/10.1016/j.jimonfin.2011.08.004openalex-snapshot
Price discovery in currency markets
inferredcites →https://doi.org/10.1016/j.jmoneco.2021.07.001openalex-snapshot
Financial fragility in the COVID-19 crisis: The case of investment funds in corporate bond markets
inferredcites →https://doi.org/10.1016/j.red.2019.01.003openalex-snapshot
The microstructure of the bond market in the 20th century
inferredcites →https://doi.org/10.1017/s0022109018001539openalex-snapshot
Short Selling and Price Discovery in Corporate Bonds
inferredcites →https://doi.org/10.1017/s0022109019000231openalex-snapshot
A Survey of the Microstructure of Fixed-Income Markets
inferredcites →https://doi.org/10.1086/261287openalex-snapshot
The Information Content of Specialist Pricing
inferredcites →https://doi.org/10.1086/296460openalex-snapshot
Insider Trading, Liquidity, and the Role of the Monopolist Specialist
inferredcites →https://doi.org/10.1086/422628openalex-snapshot
Is Liquidity Self‐Fulfilling?
inferredcites →https://doi.org/10.1086/422631openalex-snapshot
Inter‐Dealer Trading in Financial Markets
inferredcites →https://doi.org/10.1086/711954openalex-snapshot
Taking Orders and Taking Notes: Dealer Information Sharing in Treasury Auctions
inferredcites →https://doi.org/10.1093/rfs/4.3.417openalex-snapshot
Risk Aversion, Market Liquidity, and Price Efficiency
inferredcites →https://doi.org/10.1093/rfs/6.2.375openalex-snapshot
Price Experimentation and Security Market Structure
inferredcites →https://doi.org/10.1093/rfs/hhaa145openalex-snapshot
When Selling Becomes Viral: Disruptions in Debt Markets in the COVID-19 Crisis and the Fed’s Response
inferredcites →https://doi.org/10.1093/rfs/hhab063openalex-snapshot
Corporate Bond Liquidity During the COVID-19 Crisis
inferredcites →https://doi.org/10.1093/rfs/hhac007openalex-snapshot
Mutual Fund Liquidity Transformation and Reverse Flight to Liquidity
inferredcites →https://doi.org/10.1093/rfs/hhl012openalex-snapshot
Financial Intermediation and the Costs of Trading in an Opaque Market
inferredcites →https://doi.org/10.1093/rfs/hhl020openalex-snapshot
Transparency and Liquidity: A Controlled Experiment on Corporate Bonds
inferredcites →https://doi.org/10.1093/rfs/hhm034openalex-snapshot
Informed and Strategic Order Flow in the Bond Markets
inferredcites →https://doi.org/10.1093/rfs/hhr093openalex-snapshot
The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures
inferredcites →https://doi.org/10.1093/rfs/hht034openalex-snapshot
Anticipated and Repeated Shocks in Liquid Markets
inferredcites →https://doi.org/10.1093/rfs/hhx027openalex-snapshot
Bid-Ask Spreads, Trading Networks, and the Pricing of Securitizations
inferredcites →https://doi.org/10.1111/0022-1082.00341openalex-snapshot
Corporate Bond Trading Costs: A Peek Behind the Curtain
inferredcites →https://doi.org/10.1111/0022-1082.00387openalex-snapshot
Upstairs Market for Principal and Agency Trades: Analysis of Adverse Information and Price Effects
inferredcites →https://doi.org/10.1111/j.1468-0262.2005.00639.xopenalex-snapshot
Over-the-Counter Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.1993.tb04705.xopenalex-snapshot
Price Formation and Equilibrium Liquidity in Fragmented and Centralized Markets
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00660.xopenalex-snapshot
Economic News and the Impact of Trading on Bond Prices
inferredcites →https://doi.org/10.1111/j.1540-6261.2004.00711.xopenalex-snapshot
Price Discovery in the U.S. Treasury Market: The Impact of Orderflow and Liquidity on the Yield Curve
inferredcites →https://doi.org/10.1111/j.1540-6261.2006.00875.xopenalex-snapshot
Secondary Trading Costs in the Municipal Bond Market
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01203.xopenalex-snapshot
Corporate Yield Spreads and Bond Liquidity
inferredcites →https://doi.org/10.1111/j.1540-6261.2007.01240.xopenalex-snapshot
Corporate Bond Market Transaction Costs and Transparency
inferredcites →https://doi.org/10.1111/jofi.12164openalex-snapshot
Click or Call? Auction versus Search in the Over‐the‐Counter Market
inferredcites →https://doi.org/10.1111/jofi.12694openalex-snapshot
Capital Commitment and Illiquidity in Corporate Bonds
inferredcites →https://doi.org/10.1111/jofi.12728openalex-snapshot
Dealer Networks
inferredcites →https://doi.org/10.1111/jofi.12750openalex-snapshot
An Explanation of Negative Swap Spreads: Demand for Duration from Underfunded Pension Plans
inferredcites →https://doi.org/10.1111/jofi.12827openalex-snapshot
Over‐the‐Counter Market Frictions and Yield Spread Changes
inferredcites →https://doi.org/10.1111/jofi.12864openalex-snapshot
Relationship Trading in Over‐the‐Counter Markets
inferredcites →https://doi.org/10.1111/jofi.13087openalex-snapshot
Clients' Connections: Measuring the Role of Private Information in Decentralized Markets
inferredcites →https://doi.org/10.1142/s2010139217500033openalex-snapshot
Determinants of Corporate Bond Trading: A Comprehensive Analysis
inferredcites →https://doi.org/10.1177/1536867x19874236openalex-snapshot
Added-variable plots with confidence intervals
inferredcites →https://doi.org/10.1257/aer.104.10.3154openalex-snapshot
Measuring the Effect of the Zero Lower Bound on Medium- and Longer-Term Interest Rates
inferredcites →https://doi.org/10.1257/aer.20171349openalex-snapshot
Long-Run Growth of Financial Data Technology
inferredcites →https://doi.org/10.2139/ssrn.4061177openalex-snapshot
Comparing Search and Intermediation Frictions Across Markets
inferredcites →https://doi.org/10.2139/ssrn.4607190openalex-snapshot
The Liquidity State-Dependence of Monetary Policy Transmission
inferredcites →https://doi.org/10.2307/1912531openalex-snapshot
Perfect Equilibrium in a Bargaining Model
inferredcites →https://doi.org/10.2307/1913210openalex-snapshot
Continuous Auctions and Insider Trading
inferredcites →https://doi.org/10.3982/ecta10486openalex-snapshot
Market Microstructure Invariance: Empirical Hypotheses
inferredcites →https://doi.org/10.3982/ecta17440openalex-snapshot
Corrigendum: a preferred-habitat model of the term structure of interest rates (Econometrica, (2021), 89, 1, (77-112), 10.3982/ECTA17440)
inferredcites →https://doi.org/10.3982/ecta7250openalex-snapshot
Liquidity in Asset Markets With Search Frictions
inferredcites →https://doi.org/10.3982/ecta8126openalex-snapshot
Strategic Supply Function Competition With Private Information
inferredcites →https://doi.org/10.3982/ecta8365openalex-snapshot
Valuing Dealers' Informational Advantage: A Study of Canadian Treasury Auctions
inferredcites →https://doi.org/10.3982/ecta8911openalex-snapshot
Decentralized Trading With Private Information

What points at this work

Incoming claims: where this work appears in other papers’ reference lists and arguments.

inferred← citeshttps://doi.org/10.2139/ssrn.3314735openalex-extracted
Information Acquisition and Liquidity Traps in Over-the-Counter Markets
inferred← citeshttps://doi.org/10.2139/ssrn.4106482openalex-extracted
Comparing Search and Intermediation Frictions across Markets
inferred← citeshttps://doi.org/10.2139/ssrn.4374753openalex-extracted
Predictive Information in Corporate Bonds for the Equity Premium
inferred← citeshttps://doi.org/10.2139/ssrn.4374766openalex-extracted
Hidden Momentum in Corporate Bonds
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A better market design? Applying Automated Market Makers to trading real-world assets
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Factor Investing with Delays
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The Impact of Value Jumps on Bond Spreads: Based on ChinaBond Valuation
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Shifting Power: Leveraging LLMs to Simulate Human Aversion in ABMs of Bilateral Financial Exchanges, A Bond Market Study
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Returns-to-scale and manager skill in US bond funds
inferred← citeshttps://doi.org/10.1016/j.jet.2026.106223openalex-snapshot
When can less be more? Inducing dealer responses in RFQ platforms
inferred← citeshttps://doi.org/10.1016/j.jfineco.2025.103993openalex-snapshot
Yield drifts when issuance comes before macro news
inferred← citeshttps://doi.org/10.1080/0015198x.2024.2360390openalex-snapshot
Transaction Costs and Capacity of Systematic Corporate Bond Strategies
inferred← citeshttps://doi.org/10.1142/s2010139225500107openalex-snapshot
Bond Liquidity and Dealer Inventories: Insights from the US and European Regulatory Data
inferred← citeshttps://doi.org/10.1287/mnsc.2022.00194openalex-snapshot
OTC Discount
inferred← citeshttps://doi.org/10.2139/ssrn.5027692openalex-snapshot
China Walls
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Market Segmentation Across Stocks, Bonds, and Derivatives
inferred← citeshttps://doi.org/10.2139/ssrn.5188733openalex-snapshot
Pricing Fixed Income with Liquidity: An Extended Merton Approach
inferred← citeshttps://doi.org/10.2139/ssrn.5248810openalex-snapshot
Venue Participation and Transaction Cost: Evidence from China Government Bonds Market
inferred← citeshttps://doi.org/10.2139/ssrn.5271444openalex-snapshot
Relationships, Inventories, and the Value of Private Information in a Decentralized Market
inferred← citeshttps://doi.org/10.2139/ssrn.5390463openalex-snapshot
Pricing Fixed Income with Liquidity: An Extended Merton Approach
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Trade-Based Herding in the U.S. Corporate Bond Market - Retail Trading Persistence, Institutional Contrarianism, and Issuer-Level Reversals
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