Size Discount and Size Penalty: Trading Costs in Bond Markets

• 成果类型: Article
• 署名作者: Pinter, Gabor; Wang, Chaojun; Zou, Junyuan
• 署名单位: Bank for International Settlements (BIS); University of Pennsylvania; INSEAD Business School
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhae007
• 发表日期: 2024
• 页码: 2156
• 关键词: Price discovery; transaction costs; liquidity; INFORMATION; microstructure; spreads; search; intermediation; TRANSPARENCY; equilibrium

摘要

We show that larger trades incur lower trading costs in government bond markets (size discount), but costs increase in trade size after controlling for client identity (size penalty). The size discount is driven by the cross-client variation of larger traders obtaining better prices, consistent with theories of trading with imperfect competition. The size penalty, driven by the within-client variation, is larger for corporate bonds, during major macroeconomic surprises and during COVID-19. These differences are larger among more sophisticated clients, consistent with information-based theories.