Transparency and liquidity: A controlled experiment on corporate bonds

• 成果类型: Article
• 署名作者: Goldstein, Michael A.; Hotchkiss, Edith S.; Sirri, Erik R.
• 署名单位: Babson College; Boston College
• 刊物名称: REVIEW OF FINANCIAL STUDIES
• ISSN/ISSBN: 0893-9454
• DOI: 10.1093/rfs/hhl020
• 发表日期: 2007
• 页码: 235
• 关键词: market; FRAGMENTATION; disclosure

摘要

This article reports the results of an experiment designed to assess the impact of last-sale trade reporting on the liquidity of BBB corporate bonds. Overall, adding transparency has either a neutral or a positive effect on liquidity. Increased transparency is not associated with greater trading volume. Except for very large trades, spreads on newly transparent bonds decline relative to bonds that experience no transparency change. However, we find no effect on spreads for very infrequently traded bonds. The observed decrease in transaction costs is consistent with investors' ability to negotiate better terms of trade once they have access to broader bond-pricing data.