Hostname: page-component-6bf8c574d5-l72pf Total loading time: 0 Render date: 2025-03-04T04:38:08.075Z Has data issue: false hasContentIssue false
  • English
  • Français

A Survey of the Microstructure of Fixed-Income Markets

Published online by Cambridge University Press:  28 March 2019

Hendrik Bessembinder Open the ORCID record for Hendrik Bessembinder [Opens in a new window] ,
Chester Spatt  and
Kumar Venkataraman
Get access Rights & Permissions [Opens in a new window]

Abstract

In this article, we survey the literature that studies fixed-income trading rules and outcomes, including Treasury securities, corporate and municipal bonds, and structured credit products. We compare and contrast the microstructure and regulation of fixed-income markets with equity markets. We highlight the nature of over-the-counter trading in the face of search costs and the associated slow evolution of electronically facilitated intermediation. We discuss the databases available to study fixed-income microstructure, as well as measures and determinants of trading costs, and the important roles dealer networks and limited transparency play. We also highlight unresolved issues.

Type
Research Article
Information
Journal of Financial and Quantitative Analysis , Volume 55 , Issue 1 , February 2020 , pp. 1 - 45
Copyright
Copyright © Michael G. Foster School of Business, University of Washington 2019 

Access options

Get access to the full version of this content by using one of the access options below. (Log in options will check for institutional or personal access. Content may require purchase if you do not have access.)

Footnotes

1

We thank Jack Bao, Jennifer Conrad (the editor), Darrell Duffie, Michael Fleming, Terry Hendershott, Edie Hotchkiss, David Krein, Amar Kuchinad, Ananth Madhavan, Artem Neklyudov, Paul Schultz, and Alex Sedgwick for their valuable comments.

References

Abudy, M., and Wohl, A.. “Corporate Bond Trading on a Limit Order Book Exchange.” Review of Finance, 22 (2018), 1413–1440.Google Scholar
Adrian, T.; Fleming, M.; Shachar, O.; and Vogt, E.. “Market Liquidity after the Financial Crisis.” Annual Review of Financial Economics, 9 (2017), 43–83.Google Scholar
Adrian, T.; Fleming, M.; and Vogt, E.. “An Index of Treasury Market Liquidity, 1991–2017.” Staff Reports, Federal Reserve Bank of New York (2017).Google Scholar
Amihud, Y.“Illiquidity and Stock Returns: Cross-section and Time-Series Effects.” Journal of Financial Markets, 5 (2002), 31–56.Google Scholar
Amihud, Y., and Mendelson, H.. “Asset Pricing and the Bid–Ask Spread.” Journal of Financial Economics, 17 (1986), 223–249.Google Scholar
Amihud, Y., and Mendelson, H.. “Liquidity, Maturity, and the Yields on U.S. Treasury Securities.” Journal of Finance, 46 (1991), 1411–1425.Google Scholar
Anand, A.; Irvine, P.; Puckett, A.; and Venkataraman, K.. “Performance of Institutional Trading Desks: An Analysis of Persistence in Trading Costs.” Review of Financial Studies, 25 (2012), 557–598.Google Scholar
Anand, A.; Jotikasthira, C.; and Venkataraman, K.. “Do Buy-Side Institutions Supply Liquidity in Bond Markets? Evidence from Mutual Funds.” Working Paper, available at ssrn.com/abstract=3003189 (2018).Google Scholar
Anderson, M.; Henderson, B. J.; and Pearson, N.. “Bond Lending and Bond Returns.” Working Paper, available at ssrn.com/abstract=3110771 (2018).Google Scholar
Anderson, M., and Stulz, R.. “Is Post-Crisis Bond Liquidity Lower?” Working Paper, available at ssrn.com/abstract=2943020 (2017).Google Scholar
Asquith, P.; Au, A.; Covert, T.; and Pathak, P.. “The Market for Borrowing Corporate Bonds.” Journal of Financial Economics, 107 (2013), 155–182.Google Scholar
Atanasov, V., and Merrick, J. J. Jr.. “Liquidity and Value in the Deep vs. Shallow Ends of Mortgage-Backed Securities Pools.” Working Paper, College of William and Mary (2012).Google Scholar
Babus, A., and Kondor, P.. “Trading and Information Diffusion in Over-the-Counter Markets.” Econometrica, 86 (2018), 1727–1769.Google Scholar
Back, K., and Crotty, K.. “The Informational Role of Stock and Bond Volume.” Review of Financial Studies, 28 (2015), 1381–1427.Google Scholar
Back, K.; Liu, R.; and Teguia, A.. “Signaling in OTC Markets: Benefits and Costs of Transparency.” Journal of Financial and Quantitative Analysis (2019). doi:10.1017/S0022109018001394.Google Scholar
Balduzzi, P.; Elton, E. J.; and Green, T. C.. “Economic News and Bond Prices: Evidence from the U.S. Treasury Market.” Journal of Financial and Quantitative Analysis, 36 (2001), 523–543.Google Scholar
Bao, J.; O’Hara, M.; and Zhou, A.. “The Volcker Rule and Market-Making in Times of Stress.” Journal of Financial Economics, 130 (2018), 95–113.Google Scholar
Bao, J.; Pan, J.; and Wang, J.. “The Illiquidity of Corporate Bonds.” Journal of Finance, 66 (2011), 911–946.Google Scholar
Barclay, M. J.; Christie, W.; Harris, J.; Kandel, E.; and Schultz, P.. “Effects of Market Reform on the Trading Costs and Depths of Nasdaq Stocks.” Journal of Financial Economics, 64 (1999), 1–34.Google Scholar
Barclay, M. J.; Hendershott, T.; and Kotz, K.. “Automation versus Intermediation: Evidence from Treasuries Going Off the Run.” Journal of Finance, 61 (2006), 2395–2414.Google Scholar
Beber, A., and Pagano, M.. “Short-Selling Bans around the World: Evidence from the 2007–2009 Financial Crisis.” Journal of Finance, 68 (2013), 343–381.Google Scholar
Benos, E.; Payne, R.; and Vasios, M.. “Centralized Trading, Transparency, and Interest Rate Swap Market Liquidity: Evidence from the Implementation of the Dodd–Frank Act.” Journal of Financial and Quantitative Analysis (2019). doi:10.1017/S0022109018001527.Google Scholar
Bernhardt, D.; Dvoracek, V.; Hughson, E.; and Werner, I.. “Why Do Larger Order Receive Discounts on the London Stock Exchange?” Review of Financial Studies, 18 (2005), 1343–1368.Google Scholar
Bessembinder, H.; Jacobsen, S.; Maxwell, W.; and Venkataraman, K.. “Capital Commitment and Illiquidity in Corporate Bonds.” Journal of Finance, 73 (2018), 1615–1661.Google Scholar
Bessembinder, H.; Kahle, K.; Maxwell, W.; and Xu, D.. “Measuring Abnormal Bond Performance.” Review of Financial Studies, 22 (2009), 4219–4258.Google Scholar
Bessembinder, H.; Maxwell, W.; and Venkataraman, K.. “Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds.” Journal of Financial Economics, 82 (2006), 251–288.Google Scholar
Bessembinder, H.; Maxwell, W.; and Venkataraman, K.. “Trading Activity and Transactions Costs in Structured Credit Products.” Financial Analysts Journal, 69 (2013), 55–67.Google Scholar
Biais, B., and Green, R.. “The Microstructure of the Bond Market in the 20th Century.” Review of Economic Dynamics, 33 (2019), 250–271.Google Scholar
Bongaerts, D.; de Jong, F.; and Driessen, J.. “An Asset Pricing Approach to Liquidity Effects in Corporate Bond Markets.” Review of Financial Studies, 30 (2017), 1229–1269.Google Scholar
Boni, L., and Leach, C.. “Expandable Limit Order Markets.” Journal of Financial Markets, 7 (2004), 145–185.Google Scholar
Brandt, M., and Kavajecz, K.. “Price Discovery in the U.S. Treasury Markets: The Impact of Orderflow and Liquidity on the Yield Curve.” Journal of Finance, 59 (2004), 2623–2654.Google Scholar
Cai, N.; Helwege, J.; and Warga, A.. “Underpricing in the Corporate Bond Market.” Review of Financial Studies, 20 (2007), 2021–2046.Google Scholar
Chakravarty, S., and Sarkar, A.. “Trading Costs in Three U.S Bond Markets.” Journal of Fixed Income, 13 (2003), 39–48.Google Scholar
Chalmers, J.; Liu, Y.; and Wang, Z. J.. “The Difference a Day Makes: Timely Disclosure and Trading Efficiency in the Muni Market.” Working Paper, available at ssrn.com/abstract=2786420 (2019).Google Scholar
Chen, L.; Lesmond, D.; and Wei, J.. “Corporate Yield Spreads and Bond Liquidity.” Journal of Finance, 52 (2007), 119–149.Google Scholar
Chen, X.; Huang, J.; Sun, Z.; Yao, T.; and Yu, T.. “Liquidity Premium in the Eye of the Beholder: An Analysis of the Clientele Effect in the Corporate Bond Market.” Working Paper, available at ssrn.com/abstract=2269894 (2018).Google Scholar
Choi, J., and Huh, Y.. “Customer Liquidity Provision: Implications for Corporate Bond Transaction Costs.” Working Paper, available at ssrn.com/abstract=2848344 (2017).Google Scholar
Choi, J., and Shin, S.. “Liquidity-Sensitive Trading and Corporate Bond Fund Fire Sales.” Working Paper, available at ssrn.com/abstract=2731844 (2018).Google Scholar
Chordia, T.; Roll, R.; and Subrahmanyam, A.. “Liquidity and Market Efficiency.” Journal of Financial Economics, 87 (2008), 249–268.Google Scholar
Colliard, J.; Foucault, T.; and Hoffmann, P.. “Inventory Management, Dealers’ Connections, and Prices in OTC Markets.” Working Paper, HEC Paris School of Management (2018).Google Scholar
Corwin, S., and Schultz, P.. “A Simple Way to Estimate Bid–Ask Spreads from Daily High and Low Prices.” Journal of Finance, 67 (2012), 719–760.Google Scholar
Das, S.; Kalimipalli, M.; and Nayak, S.. “Did CDS Trading Improve the Market for Corporate Bonds?” Journal of Financial Economics, 111 (2014), 495–525.Google Scholar
Datta, S.; Iskandar-Datta, M.; and Patel, A.. “The Pricing of Initial Public Offers of Corporate Straight Debt.” Journal of Finance, 52 (1997), 379–396.Google Scholar
Diamond, D., and Verrecchia, R.. “Constraints on Short-Selling and Asset Price Adjustment to Private Information.” Journal of Financial Economics, 18 (1987), 277–311.Google Scholar
Dick-Nielsen, J.; Feldhütter, P.; and Lando, D.. “Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis.” Journal of Financial Economics, 103 (2012), 471–492.Google Scholar
Dick-Nielsen, J., and Rossi, M.. “The Cost of Immediacy for Corporate Bonds.” Review of Financial Studies, 32 (2019), 1–41.Google Scholar
Di Maggio, M.; Kermani, A.; and Song, Z.. “The Value of Trading Relationships in Turbulent Times.” Journal of Financial Economics, 124 (2017), 266–284.Google Scholar
Downing, C.; Underwood, S.; and Xing, Y.. “The Relative Efficiency of Stocks and Bonds: An Intraday Analysis.” Journal of Financial and Quantitative Analysis, 44 (2009), 1081–1102.Google Scholar
Downing, C., and Zhang, F.. “Trading Activity and Price Volatility in the Municipal Bond Market.” Journal of Finance, 59 (2004), 899–931.Google Scholar
Duffie, D.“Special Repo Rates.” Journal of Finance, 51 (1996), 493–526.Google Scholar
Duffie, D.“Market Making under the Proposed Volcker Rule.” Working Paper, Stanford University (2012).Google Scholar
Duffie, D.“Post Crisis Bank Regulations and Financial Market Liquidity.” Baffi Lecture, Banca d’Italia, Rome, Italy. Available at https://www.darrellduffie.com/uploads/policy/DuffieBaffiLecture2018.pdf (2018).Google Scholar
Duffie, D.; Gârleanu, N.; and Pedersen, L. H.. “Over-the-Counter Markets.” Econometrica, 73 (2005), 1815–1847.Google Scholar
Duffie, D.; Gârleanu, N.; and Pedersen, L. H.. “Valuation in Over-the-Counter Markets.” Review of Financial Studies, 20 (2007), 1865–1900.Google Scholar
Duffie, D., and Zhu, H.. “Size Discovery.” Review of Financial Studies, 30 (2017), 1095–1150.Google Scholar
Edwards, A.; Harris, L.; and Piwowar, M.. “Corporate Bond Market Transaction Costs and Transparency.” Journal of Finance, 62 (2007), 1421–1451.Google Scholar
Ellul, A.; Jotikasthira, C.; and Lundblad, C. T.. “Regulatory Pressure and Fire Sales in the Corporate Bond Market.” Journal of Financial Economics, 101 (2011), 596–620.Google Scholar
Feldhutter, P.“The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures.” Review of Financial Studies, 25 (2012), 1155–1206.Google Scholar
Fleming, M. J., and Garbade, K. B.. “Dealer Behavior in the Specials Market for US Treasury Securities.” Journal of Financial Intermediation, 16 (2007), 204–228.Google Scholar
Fleming, M. J.; Mizrach, B.; and Nguyen, G.. “The Microstructure of a U.S. Treasury ECN: The BrokerTec Platform.” Journal of Financial Markets, 40 (2018), 2–22.Google Scholar
Fleming, M. J., and Nguyen, G.. “Price and Size Discovery in Financial Markets: Evidence from the U.S. Treasury Securities Market.” Review of Asset Pricing Studies, forthcoming (2020).Google Scholar
Fleming, M. J., and Remolona, E. M.. “Price Formation and Liquidity in the U.S. Treasury Market: The Response to Public Information.” Journal of Finance, 54 (1999), 1901–1915.Google Scholar
Fleming, M. J.; Schaumburg, E.; and Yang, R.. “The Evolution of Workups in the U.S. Treasury Securities Market.” Liberty Street Economics. Available at https://libertystreeteconomics.newyorkfed.org/2015/08/the-evolution-of-workups-in-the-us-treasury-securities-market.html (2015).Google Scholar
French, K., and Roll, R.. “Stock Return Variances: The Arrival of Information and Reaction of Traders.” Journal of Financial Economics, 17 (1986), 5–26.Google Scholar
Friewald, N.; Jankowitsch, R.; and Subrahmanyam, M. G.. “Illiquidity or Credit Deterioration: A Study of Liquidity in the U.S. Corporate Bond Market during Financial Crises.” Journal of Financial Economics, 105 (2012), 18–36.Google Scholar
Friewald, N.; Jankowitsch, R.; and Subrahmanyam, M. G.. “Transparency and Liquidity in the Structured Bond Market.” Working Paper, New York University (2014).Google Scholar
Friewald, N., and Nagler, F.. “Over-the-Counter Market Frictions and Yield Spread Changes.” Journal of Finance, forthcoming (2020).Google Scholar
Gao, P.; Schultz, P.; and Song, Z.. “Liquidity in a Market for Unique Assets: Specified Pool and To-Be-Announced Trading in the Mortgage-Backed Securities Market.” Journal of Finance, 72 (2017), 1119–1170.Google Scholar
Garriott, C.; Lefebvre, S.; Nolin, G.; Rivadeneyra, F.; and Walton, A.. “Alternative Futures for Government of Canada Debt Management.” Working Paper, Bank of Canada (2018).Google Scholar
Glode, V., and Opp, C.. “Asymmetric Information and Intermediation Chains.” American Economic Review, 106 (2016), 2699–2721.Google Scholar
Glode, V., and Opp, C.. “Over-the-Counter vs. Limit-Order Markets: The Role of Traders’ Expertise.” Review of Financial Studies, forthcoming (2020).Google Scholar
Goh, J., and Yang, L.. “Do Demand Curves for Bonds Slope Down?” Working Paper, Singapore Management University (2018).Google Scholar
Goldreich, D.“Underpricing in Discriminatory and Uniform-Price Treasury Auctions.” Journal of Financial and Quantitative Analysis, 42 (2007), 443–466.Google Scholar
Goldstein, I.; Jiang, H.; and Ng, D.. “Investor Flows and Fragility in Corporate Bond Markets.” Journal of Financial Economics, 126 (2017), 592–613.Google Scholar
Goldstein, M., and Hotchkiss, E.. “Providing Liquidity in an Illiquid Market: Dealer Behavior in U.S. Corporate Bonds.” Journal of Financial Economics, forthcoming (2020).Google Scholar
Goldstein, M.; Hotchkiss, E.; and Sirri, E.. “Transparency and Liquidity: A Controlled Experiment on Corporate Bonds.” Review of Financial Studies, 20 (2007), 235–273.Google Scholar
Gorton, G., and Pennacchi, G.. “Security Baskets and Index-Linked Securities.” Journal of Business, 66 (1993), 1–27.Google Scholar
Green, R. C.; Hollifield, B.; and Schürhoff, N.. “Dealer Intermediation and Price Behavior in the Aftermarket for New Bond Issues.” Journal of Financial Economics, 86 (2007a), 643–682.Google Scholar
Green, R. C.; Hollifield, B.; and Schürhoff, N.. “Financial Intermediation and the Costs of Trading in an Opaque Market.” Review of Financial Studies, 20 (2007b), 275–314.Google Scholar
Green, R. C.; Li, D.; and Schürhoff, N.. “Price Discovery in Illiquid Markets: Do Financial Asset Prices Rise Faster Than They Fall?” Journal of Finance, 65 (2010), 1669–1702.Google Scholar
Green, T. C.“Economic News and the Impact of Trading on Bond Prices.” Journal of Finance, 59 (2004), 1201–1233.Google Scholar
Harris, L. E.“Transaction Costs, Trade Throughs, and Riskless Principal Trading in Corporate Bond Markets.” Working Paper, University of Southern California (2015).Google Scholar
Harris, L. E., and Piwowar, M. S.. “Secondary Trading Costs in the Municipal Bond Market.” Journal of Finance, 61 (2006), 1361–1397.Google Scholar
Hasbrouck, J.“Trading Costs and Returns for U.S. Equities: Estimating Effective Costs from Daily Data.” Journal of Finance, 64 (2009), 1445–1477.Google Scholar
Helwege, J., and Wang, L.. “Liquidity and Price Pressure in the Corporate Bond Market: Evidence from Mega-Bonds.” Working Paper, available at ssrn.com/abstract=2801840 (2017).Google Scholar
Hendershott, T.; Kozhan, R.; and Raman, V.. “Short Selling and Price Discovery in Corporate Bonds.” Journal of Financial and Quantitative Analysis (2019). doi:10.1017/S0022109018001539.Google Scholar
Hendershott, T.; Li, D.; Livdan, D.; and Schürhoff, N.. “Relationship Trading in OTC Markets.” Working paper, available at ssrn.com/abstract=3051859 (2017).Google Scholar
Hendershott, T., and Madhavan, A.. “Click or Call? Auction versus Search in the Over-the-Counter Market.” Journal of Finance, 70 (2015), 419–447.Google Scholar
Ho, T., and Stoll, H.. “The Dynamics of Dealer Markets under Competition.” Journal of Finance, 38 (1983), 1053–1074.Google Scholar
Hollifield, B.; Neklyudov, A.; and Spatt, C.. “Bid–Ask Spreads, Trading Networks, and the Pricing of Securitizations.” Review of Financial Studies, 30 (2017), 3048–3085.Google Scholar
Hong, G., and Warga, A.. “An Empirical Study of Bond Market Transactions.” Financial Analysts Journal, 56 (2000), 32–46.Google Scholar
Hotchkiss, E., and Ronen, T.. “The Informational Efficiency of the Corporate Bond Market: An Intraday Analysis.” Review of Financial Studies, 15 (2002), 1325–1354.Google Scholar
Huang, R., and Stoll, H.. “The Components of the Bid–Ask Spread: A General Approach.” Review of Financial Studies, 10 (1997), 995–1034.Google Scholar
Hugonnier, B.; Lester, R.; and Weill, P.. “Heterogeneity in Decentralized in Asset Markets.” Working Paper, available at ssrn.com/abstract=2611084 (2015).Google Scholar
Issa, G., and Jarnecic, E.. “Effect of Trading Relationships on Execution Costs in Low Information Asymmetry Over-the-Counter Markets.” Journal of Financial and Quantitative Analysis (2019). doi:10.1017/S0022109018001485.Google Scholar
Jacobsen, S., and Venkataraman, K.. “Does Trade Reporting Improve Market Quality in an Institutional Market? Working Paper, Southern Methodist University (2018).Google Scholar
Jankowitsch, R.; Nashikkar, A.; and Subrahmanyam, M.. “Price Dispersion in OTC Markets: A New Measure of Liquidity.” Journal of Banking and Finance, 35 (2011), 343–357.Google Scholar
Jordan, B., and Jordan, S.. “Special Repo Rates: An Empirical Analysis.” Journal of Finance, 52 (1997), 2051–2072.Google Scholar
Kavajecz, K., and Keim, D.. “Packaging Liquidity: Blind Auctions and Transaction Efficiencies.” Journal of Financial and Quantitative Analysis, 40 (2005), 465–492.Google Scholar
Kedia, S., and Zhou, X.. “Informed Trading around Acquisitions: Evidence from Corporate Bonds.” Journal of Financial Markets, 18 (2014), 182–205.Google Scholar
Kim, O., and Verrecchia, R.. “Trading Volume and Price Reactions to Public Announcements.” Journal of Accounting Research, 29 (1991), 302–321.Google Scholar
Kim, O., and Verrecchia, R.. “Market Liquidity and Volume around Earnings Announcements.” Journal of Accounting and Economics, 17 (1994), 41–67.Google Scholar
Krishnamurthy, A.“The Bond/Old-Bond Spread.” Journal of Financial Economics, 66 (2002), 463–506.Google Scholar
Kwan, S.“Firm-Specific Information and the Correlation between Individual Stocks and Bonds.” Journal of Financial Economics, 40 (1996), 63–80.Google Scholar
Lee, T., and Wang, C.. “Why Trade Over-the-Counter? When Investors Want Price Discrimination.” Working Paper, available at ssrn.com/abstract=3087647 (2018).Google Scholar
Li, D., and Schürhoff, N.. “Dealer Networks.” Journal of Finance, 74 (2019), 91–144.Google Scholar
Lin, H.; Wang, J.; and Wu, C.. “Liquidity Risk and Expected Corporate Bond Returns.” Journal of Financial Economics, 99 (2011), 628–650.Google Scholar
Loon, Y., and Zhong, Z.. “Does Dodd-Frank Affect OTC Transaction Costs and Liquidity? Evidence from Real-Time CDS Trade Reports.” Journal of Financial Economics, 119 (2016), 645–672.Google Scholar
Lou, D.; Yan, H.; and Zhang, J.. “Anticipated and Repeated Shocks in Liquid Markets.” Review of Financial Studies, 26 (2013), 1891–1912.Google Scholar
Madhavan, A.; Richardson, M.; and Roomans, M.. “Why Do Security Prices Change? A Transaction-Level Analysis of NYSE Stocks.” Review of Financial Studies, 10 (1997), 1035–1064.Google Scholar
Menkveld, A.“Systemic Risk in Central Clearing: Should Crowded Trades Be Avoided?” Working Paper, available at ssrn.com/abstract=2367287 (2016).Google Scholar
Mizrach, B.“Analysis of Corporate Bond Liquidity.” Research Note, FINRA Office of the Chief Economist (2016).Google Scholar
Neklyudov, A.“Bid–Ask Spreads and the Over-the-Counter Interdealer Markets: Core and Peripheral Dealers.” Review of Economic Dynamics, 33 (2019), 57–84.Google Scholar
O’Hara, M.; Wang, Y.; and Zhou, X.. “The Execution Quality of Corporate Bonds.” Journal of Financial Economics, 130 (2018), 308–326.Google Scholar
O’Hara, M., and Ye, M.. “Is Market Fragmentation Harming Market Quality?” Journal of Financial Economics, 100 (2011), 459–474.Google Scholar
O’Hara, M., and Ye, M.. “What’s Not There: Odd Lots and Market Data.” Journal of Finance, 69 (2014), 2199–2236.Google Scholar
Ottonello, G.“The Impact of Benchmarking in Fixed Income Markets.” Working Paper, Vienna Graduate School of Finance (2019).Google Scholar
Pan, K., and Zeng, Y.. “ETF Arbitrage under Liquidity Mismatch.” Working Paper, available at ssrn.com/abstract=2895478 (2017).Google Scholar
Pasquariello, P.; Roush, J.; and Vega, C.. “Government Intervention and Strategic Trading in the U.S. Treasury Market.” Journal of Financial and Quantitative Analysis (2019). doi:10.1017/S0022109018001552.Google Scholar
Pastor, L., and Stambaugh, R.. “Liquidity Risk and Expected Stock Returns.” Journal of Political Economy, 111 (2003), 642–685.Google Scholar
Puckett, A., and Yan, S.. “The Interim Trading Skills of Institutional Investors.” Journal of Finance, 66 (2011), 601–633.Google Scholar
Roll, R.“A Simple Implicit Measure of the Effective Bid–Ask Spread in an Efficient Market.” Journal of Finance, 39 (1984), 1127–1139.Google Scholar
Ronen, T., and Zhou, X.. “Trade and Information in the Corporate Bond Market.” Journal of Financial Markets, 16 (2013), 61–103.Google Scholar
Schaumburg, E., and Yang, R.. “The Workup, Technology, and Price Discovery in the Interdealer Market for U.S. Treasury Securities.” Liberty Street Economics. Available at https://libertystreeteconomics.newyorkfed.org/2016/02/the-workup-technology-and-price-discovery-in-the-interdealer-market-for-us-treasury-securities.html (Feb. 16, 2016).Google Scholar
Schestag, R.; Schuster, P.; and Uhrig-Homburg, M.. “Measuring Liquidity in Bond Markets.” Review of Financial Studies, 29 (2016), 1170–1219.Google Scholar
Schlepper, K.; Hofer, H.; Riordan, R.; and Schrimpf, A.. “The Market Microstructure of Central Bank Bond Purchases.” Journal of Financial and Quantitative Analysis (2019). doi:10.1017/S0022109018001370.Google Scholar
Schmidt, L.; Timmermann, A.; and Wermers, R.. “Runs of Money Market Mutual Funds.” American Economic Review, 106 (2016), 2625–2657.Google Scholar
Schultz, P.“Corporate Bond Trading Costs: A Peek Behind the Curtain.” Journal of Finance, 56 (2001), 677–698.Google Scholar
Schultz, P.“The Market for New Issues of Municipal Bonds: The Roles of Transparency and Limited Access to Retail Investors.” Journal of Financial Economics, 106 (2012), 492–512.Google Scholar
Schultz, P.“Inventory Management by Corporate Bond Dealers.” Working Paper, University of Notre Dame (2017).Google Scholar
Schultz, P., and Song, Z.. “Transparency and Dealer Networks: Evidence from the Initiation of Post-Trade Reporting in the Mortgage Backed Security Market.” Journal of Financial Economics, 133 (2019), 113–133.Google Scholar
Sirri, E.“Report on Secondary Market Trading in the Municipal Securities Market,” Research Paper, Municipal Securities Rulemaking Board, July (2014).Google Scholar
Spatt, C.“Frictions in the Bond Market.” Keynote Speech, Second MTS Conference on Financial Markets (2004).Google Scholar
Spatt, C.“Security Market Manipulation.” Annual Review of Financial Economics, 6 (2014), 405–418.Google Scholar
Spatt, C., and Srivastava, S.. “Preplay Communication, Participation Restrictions, and Efficiency in Initial Public Offerings.” Review of Financial Studies, 4 (1991), 709–726.Google Scholar
Subrahmanyam, A.“A Theory of Trading in Stock Index Futures.” Review of Financial Studies, 4 (1991), 17–51.Google Scholar
Trebbi, F., and Xiao, K.. “Regulation and Market Liquidity.” Management Science, 65 (2019), 1949–1968.Google Scholar
Vickery, J., and Wright, J.. “TBA Trading and Liquidity in the Agency MBS Market.” Economic Policy Review, 19 (2013), 1–18.Google Scholar
Wang, C.“Core-Periphery Trading Networks.” Working Paper, University of Pennsylvania (2018).Google Scholar
Wang, J.; Zhang, H.; and Zhang, X.. “Fire Sales and Liquidity Provision in the Corporate Bond Market.” Working Paper, available at ssrn.com/abstract=2644098 (2018).Google Scholar
Wei, J., and Zhou, X.. “Informed Trading in Corporate Bonds Prior to Earnings Announcements.” Financial Management, 45 (2016), 641–674.Google Scholar
Wu, S.“Transaction Costs for Customer Trades in the Municipal Bond Market: What Is Driving the Decline?” Working Paper, Municipal Securities Rulemaking Board (2018).Google Scholar