Corporate Bond Trading Costs: A Peek Behind the Curtain

By Paul H. Schultz. 2001

334 citations recorded by the source corpus.

Subfields: Finance

View Paper: https://www.semanticscholar.org/paper/db3b6345ca61b470812fe56cb5ce5c54258e1c0a

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Citations in the corpus

Liquidity in asset markets with search frictions (2007, neutral): “πi = λi−1/(i− 1)! PI j=1 λ j−1/(j − 1)! , (39)”
Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds (2006, positive): “Schultz (2001) discards observations that differ by more than 5% from the beginning and end-of-month bid price.”
Illiquidity or Credit Deterioration: A Study of Liquidity in the US Corporate Bond Market during Financial Crises (2012, background): “However, some papers use restricted samples of the transaction data for certain parts of the corporate bond market to analyze liquidity, including Chakravarty and Sarkar (1999), Hong and Warga (2000), Schultz (2001), and Hotchkiss and Ronen (2002).”
Economic News and the Impact of Trading on Bond Prices (2004, background): “Schultz (2001) examines cross sectional differences in bid-ask spreads in the corporate bond market, and Chakravarty and Sarkar (1999) compare spreads across corporate, government and municipal bond markets.”
Is Historical Cost Accounting a Panacea? Market Stress, Incentive Distortions, and Gains Trading (2015, background): “This paper explores the trading incentives of financial institutions induced by the interaction between regulatory accounting rules and capital requirements. The theoretical literature (see, for example, Allen and Carletti (2008), Plantin, Sapra and Shin (2008), and Sapra (2008)) argues that mark-to”
Corporate Bond Market Transparency and Transaction Costs (2004, positive): “Bessembinder, Maxwell, and Venkataraman (2005) estimate a variation of the Schultz (2001) model that incorporates company specific information, which allows them to estimate transaction costs for high-yield bonds. Chen, Lesmond, and Wei (2002) propose a different regression approach by extending Les”
Value investing in credit markets (2012, neutral): “Schultz (2001) reports that round-trip transaction costs for a sample of insurance company corporate bond trades is about 27 basis points.”
Endogenous Liquidity and Defaultable Bonds (2012, positive): “Other empirical papers that investigate secondary bond market liquidity are Hong and Warga (2000), Schultz (2001), Harris and Piwowar (2006); Green, Hollifield, and Schurhoff (2007b,a). spread.”
The Same Bond at Different Prices: Identifying Search Frictions and Selling Pressures (2012, positive): “Average transaction cost is 59 cents, and panel A shows decreasing transaction costs as a function of trade size as documented in several papers (Schultz (2001), Chakravarty and Sarkar (2003), and Edwards, Harris, and Piwowar (2007)).”
Comparing Possible Proxies of Corporate Bond Liquidity (2003, background): “…and Price (1993), Chakravarty and Sarkar (1999), Alexander, Edwards and Ferri (2000), Hong and Warga (2000), CollinDufresne, Goldstein and Martin (2001), Ericsson and Renault (2001), Schultz (2001), Dı́az and Navarro (2002), Elton, Gruber, Agrawal and Mann (2002) and Mullineaux and Roten (2002).”