Corporate Bond Market Transaction Costs and Transparency

By Amy K. Edwards, Lawrence E. Harris, Michael S. Piwowar. 2007

838 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/11424815b6718e461a75a928aadc8697fcb73132

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Citations in the corpus

The Illiquidity of Corporate Bonds (2011, methodology): “A simple measure is the bid-ask spread, which is analyzed in detail by Edwards, Harris, and Piwowar (2007) .2 Although the bid-ask spread is a direct and potentially important indicator”
Value investing in credit markets (2012, positive): “Edwards et al. (2007) use corporate bond trades 602 M.”
Dealer balance sheets and bond liquidity provision (2016, neutral): “…on liquidity and on dealers’ propensity to provide liquidity have been debated, but most academic papers find that the implementation of TRACE benefited clients over all, lowering transaction costs (Bessembinder et al., 2006; Goldstein et al., 2007; Edwards et al., 2007; Asquith et al., 2013).”
Regulatory Pressure and Fire Sales in the Corporate Bond Market (2011, neutral): “Edwards et al. (2007) find that round-trip transaction costs for speculative-grade bonds average less than 50 basis points for trades larger than $1 million in size.”
Liquidity and Asset Returns Under Asymmetric Information and Imperfect Competition (2011, background): “The transaction data on corporate bonds also identify dealer-customer and dealer-dealer trades (e.g.,Edwards, Harris, and Piwowar 2007), allowing estimation ofλ.”
The Empirical Analysis of Liquidity (2014, background): “Fang et al. [2009], Gerken [2009], Edmans et al.”
Click or Call? Auction versus Search in the Over‐the‐Counter Market (2012, neutral): “As in Edwards, Harris, and Piwowar (2007), bond and stock data are linked through the issuer’s ticker symbol in TRACE.”
The Informational Role of Bond Analysts (2009, positive): “Following prior research (Harris and Piwowar 2006; Edwards et al. 2007), we compute a complexity index based on bond characteristics that cause bonds to be more difficult to value.”
Intermediary Asset Pricing: New Evidence from Many Asset Classes (2017, methodology): “For equities, we use the Fama and French (1993) 25 size and value sorted portfolios (from Ken French’s website).”
Corporate Bond Liquidity Before and After the Onset of the Subprime Crisis (2012, result): “Thus, transaction costs are modest for a large part of the corporate bond market, consistent with ﬁndings in Edwards, Harris, and Piwowar (2007), Goldstein, Hotchkiss, and Sirri (2007), and Bessembinder, Maxwell, and Venkaraman (2006).”
Flights to Safety (2014, neutral): “They then estimate returns and transaction costs for each portfolio using the repeat-sales approach of Edwards et al. (2007).”
Climate Regulatory Risks and Corporate Bonds (2020, neutral): “These additional steps are suggested by Edwards et al. (2007). (9)Trades for equity-linked-notes reported in TRACE are excluded, as well as those with missing CUSIPs. (10)The Treasury provides data on one month, three month, six month, one year, two year, three year, five year, seven year, 10 year, ”
The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, neutral): “…in Green, Hollifield, and Schürhoff (2007b), Green, Hollifield, and Schürhoff (2007a), Harris and Piwowar (2006), the corporate bond market in Edwards, Harris, and Piwowar (2007), Schultz (2001), and Jotikasthira (2007), and for the Treasury market in Garbade and Silber (1976) and Dunne,…”
Endogenous Liquidity and Defaultable Bonds (2012, methodology): “These two predictions conform with the empirical findings in Edwards, Harris, and Piwowar (2007), and Bao, Pan, and Wang (2011).”
The Relative Informational Efficiency of Stocks and Bonds: An Intraday Analysis (2007, neutral): “…0.000 0.001 0.002 0.005 N/A –0.000 0.002 0.002 0.009 Total N/A 0.032 0.455 0.618 1.532 N/A –0.019 0.664 0.547 2.696 Downing, Underwood, and Xing 1101 Given that Edwards et al. (2007) show the average transaction cost for a $100,000 trade in junk bonds to be around 50 basis points, as well as the…”