Sunday, April 29, 2012

Pre-trade Transparency in the Corporate Bond Markets

Now why wouldn't my three readers want to see a video featuring my oddly cropped noggin?


If you are wondering, no this was not filmed from the top of the Brooklyn Bridge. I have a fear of heights so requested the green screen. As a further piece of no doubt scintillating trivia we had to start again when Greg accidentally referred to me as Peter Cook (which was highly flattering, of course).

Monday, April 2, 2012

Pre-Trade and Post-Trade Transparency in Corporate Bond Markets: (Microstructure Research)

A compilation of research related to pre-trade and post-trade transparency in corporate bond markets

Authors Title Download
Terrence Hendershott and Ananth Madhavan Click or Call? Auction Versus Serach in the Over-the-Counter Market SSRN
Jack Bao, Jun Pan and Jiang Wang The Illiquidity of Corporate Bonds Jun Pan homepage
Bruno Biais and Richard GreenThe Microstructure of the Bond Market in the 20th CenturyCEPR
Michael A. Goldstein, Edith S. Hotchkiss, Erik R. Sirri Transparency and Liquidity:A Controlled Experiment on Corporate BondsErik Sirri's homepage
Marco Lagana, Martin Perina, Isabel von Koppen-Mertes and Avinash Persuad Implications for Liquidity from Innovation and Transparency in the European Corporate Bond Market European Central Bank
Peter Ciampi and Eric Zitzewitz Corporate Bond Trading Costs During the Financial Crisis IDC Whitepapers
Amy K. Edwards, Lawrence E. Harris and Michael S. Piwowar Corporate Bond Market Transaction Costs and TransparencyAFA JOF Forthcoming papers
Hendrick Bessembinder, William Maxwell, Kumar Venkataraman Market Transparency, Liquidity Externalities, and Institutional Trading Costs in Corporate Bonds University of Arizona
Sugato Chakravarty and Asani Sarkar Liquidity in U.S. Fixed Income Markets: A Comparison of the Bid-Ask Spread in Corporate, Government and Municipal Bond Markets Federal Reserve Board
Hendrik Bessembinder and William Maxwell Transparency and the Corporate Bond Market Journal of Economic Perspectives
Bruno Biais, Fany Declerck, James Dow, Richard Portes, Ernst-Ludwig von Thadden European Corporate Bonds Markets: transparency, liquidity, efficiencyCenter for Economic Policy Research