Secondary Trading Costs in the Municipal Bond Market

By Lawrence E. Harris, Michael S. Piwowar. 2006

321 citations recorded by the source corpus.

Subfields: Economics and Econometrics, Finance

View Paper: https://www.semanticscholar.org/paper/6da44501dd4c3a7d3bfef93adf361ff03bca5e05

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Citations in the corpus

The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, unknown): “For example, Huang and Huang (2003) find a historical average 4-year A-Treasury spread of 96 basis points out of which credit risk can explain around 10 basis points. I provide a search-based explanation for the puzzle. The premium due to search costs is calculated as the midyield for an average cor”
Hidden Liquidity: An Analysis of Order Exposure Strategies in Electronic Stock Markets (2009, unknown): “Harris and Piwowar (2006) emphasize the desirability of assigning larger weights in cross-sectional aggregation to those securities whose parameters are estimated more precisely.”
A Liquidity-Based Theory of Closed-End Funds (2009, background): “Harris and Piwowar (2006) corroborate this, while Edwards et al. (2006) report qualitatively similar results for corporate bonds.”
Informed trading and price discovery before corporate events (2015, unknown): “Harris and Piwowar (2006) emphasize the desirability of assigning larger weights in the cross-sectional aggregation to those securities whose parameters are estimated more precisely.”
The Informational Role of Bond Analysts (2009, unknown): “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.”
Corruption, Political Connections, and Municipal Finance (2009, background): “Harris and Piwowar (2006) and Green, Hollifield, and Schurhoff (2007) for additional”
Corporate Bond Market Transparency and Transaction Costs (2004, methodology): “These results are similar to those reported in Harris and Piwowar (2005), although Harris and Piwowar found stronger results for the complexity measures.”
Measuring Liquidity in Bond Markets (2016, unknown): “Third, in today’s OTC bond markets and in sharp contrast to most other markets, transaction costs decrease with trade size (see, e.g., Schultz, 2001; Harris and Piwowar, 2006; Bias and Green, 2007; Edwards, Harris, and Piwowar, 2007).”
Consequences of GAAP Disclosure Regulation: Evidence from Municipal Debt Issues (2008, unknown): “12 transaction costs (Harris and Piwowar 2006) in municipal bond markets, which implies greater information asymmetry than in corporate debt markets.”
Corporate Bond Market Transaction Costs and Transparency (2007, methodology): “We estimate this model using the iterated weighted least squares method described in Harris and Piwowar (2006) to ensure that we give the greatest weights to trade pairs from which we expect to learn the most about transaction costs.”
Endogenous Liquidity and Defaultable Bonds (2012, unknown): “In the (41)He and Xiong (2012) prove this claim for given (c, p) in the LT96 framework.”
Measuring Abnormal Bond Performance (2009, unknown): “Another alternative is to follow Harris and Piwowar (2006) and eliminate all trades under $100,000, which tend to be non-institutional trades, and then rely on the last trade price in the remaining sample (the “last price, trade>= 100k” approach).”
Liquidity, Default, Taxes and Yields on Municipal Bonds (2008, background): “2 Harris and Piwowar (2006) report that the effective spreads in muni bonds average almost 2% of price.”
The role of rating agencies in the market for charitable contributions: An empirical test (2009, background): “Zhang 2007). In the market for municipal bonds, Harris and Piwowar (2006) find that an”
Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds (2006, background): “Green, Hollifield, and Schurhoff (2004) and Harris and Piwowar (2005) have each documented substantial variation in trading costs as a function of trade size for municipal bonds, and Edwards, Harris, and Piwowar (2005) report a similar result for corporate bonds.”
Financing dies in darkness? The impact of newspaper closures on public finance (2020, background): “…on municipal bond offering yields, which is advantageous because offering yields directly represent the effective interest rates on the bonds at the time of issuance and are less subject to the illiquidity biases that pervade the secondary municipal bond market ( Harris and Piwowar, 2006 ).”