Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds

By H. Bessembinder, William F. Maxwell, K. Venkataraman. 2006

532 citations recorded by the source corpus.

Subfields: Accounting, Finance

View Paper: https://www.semanticscholar.org/paper/c6767eea24b5e93c562f78838ced56b41d8b18e3

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In Accounting

1. Stacey Jacobsen
2. Craig W. Holden
3. David T. Ng
4. Hao Jiang
5. Avanidhar Subrahmanyam
6. Peter Feldhütter
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In Finance

1. Marti G. Subrahmanyam
2. Peter Feldhütter
3. Amrut J. Nashikkar
4. Stacey Jacobsen
5. Craig W. Holden
6. Avanidhar Subrahmanyam
7. Amy K. Edwards
8. Lawrence E. Harris

Citations in the corpus

• 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).”
• Investor Flows and Fragility in Corporate Bond Funds (2017, background): “(2007) estimate that the round-trip transaction costs in corporate bonds range from approximately 150 basis points (bps) for the smallest trade size to about three bps for the largest trade size (see also Bessembinder, Maxwell, and Venkataraman, 2006 ).”
• Regulatory Pressure and Fire Sales in the Corporate Bond Market (2011, unknown): “We follow Bessembinder et al. (2006) and calculate return based on a trade on the prior trading day.”
• Capital Commitment and Illiquidity in Corporate Bonds (2017, unknown): “Asquith, Au, and Covert (2013) examine the market for borrowing corporate bonds (which facilitates the ability to take short positions) and report a reduction in borrowing costs over time.”
• The Empirical Analysis of Liquidity (2014, background): “Bharath et al. [2013] argue that even if exit is not observed, blockholders could still be governing effectively — to the extent that blockholders are informed traders, managers who have equity interest in the firm will take actions to improve firm value and thus to discourage blockholders from exit”
• The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, unknown): “a buy/sell indicator ( Bessembinder et al. (2006) , Goldstein et al. (2007), and Edwards”
• Latent liquidity: A new measure of liquidity, with an application to corporate bonds ☆ (2008, background): “ Bessembinder, Maxwell, and Venkataraman (2006) use data reported by insurance companies to the National Association of Insurance Companies to estimate round-trip transaction costs for a limited set of bonds using a signed-variable approach.”
• Corporate Bond Market Transaction Costs and Transparency (2007, background): “Bessembinder, Maxwell, and Venkataraman (2006) estimate a variation of the Schultz (2001) model that incorporates company-specific information, which dumay.info 5 allows them to estimate transaction costs for high yield bonds.”
• Value investing in credit markets (2012, unknown): “Bessembinder et al. (2006) report round trip transaction costs of about 18 basis points for a large sample of institutional trades (average trade size of $2,500,000) from the National Association of Insurance Commissioners (NAIC) transaction database.”