A Survey of the Microstructure of Fixed-Income Markets
Author | : Hendrik Bessembinder |
Publisher | : |
Total Pages | : 67 |
Release | : 2019 |
ISBN-10 | : OCLC:1304260723 |
ISBN-13 | : |
Rating | : 4/5 (23 Downloads) |
Book excerpt: This paper surveys the literature that studies fixed-income trading rules and outcomes, including Treasury securities, corporate and municipal bonds, and structured credit products. We compare and contrast the microstructure and regulation of fixed-income markets with equity markets. We highlight the nature of over-the-counter trading in the face of search costs and the associated slow evolution of electronically-facilitated intermediation. We discuss the databases available for the study of fixed-income microstructure, as well as measures of trading costs and the determinants thereof, and the important roles of dealer networks and limited transparency. We also highlight unresolved issues.