Secondary Trading Costs in The Municipal Bond Market  

Oleh:

Harris, Lawrence E. ; Piwowar, Michael S.

Jenis: Article from Journal - ilmiah internasional
Dalam koleksi: The Journal of Finance (EBSCO) vol. 61 no. 3 (Jun. 2006), page 1361-1398.
Topik: trading; municipal bonds; bond issues; valuation; econometrics; studies; correlation analysis
Fulltext: p 1361.pdf (357.58KB)

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Perpustakaan Pusat (Semanggi) Nomor Panggil: JJ88 Non-tandon: 1 (dapat dipinjam: 0) Tandon: tidak ada

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Using new econometric methods, we separately estimate average transaction costs for over 167.000 bonds for a 1 year sample of all U.S. municipal bond trades. Municipal bond transaction costs decrease. Municipal bond transaction costs decrease with trade size and do not depend significantly on trade frequency. Also, municipal bond trades are substantally more expensive than similar sized equity trades. We attribute there results to the lack of bond market price transparency. Additional cross - sectional analyses show that bond trading costs increase with credit risk, instrument complexity, time to maturity, and time since issuance. Investors, and perhaps ultimately issuers, might benefit if issuers issued simpler bonds.

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