The difference a day makes: Timely disclosure and trading efficiency in the muni market

• 成果类型: Article
• 署名作者: Chalmers, John; Liu, Yu (Steve); Wang, Z. Jay
• 署名单位: University of Oregon; University of Missouri System; Missouri University of Science & Technology
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2020.07.015
• 发表日期: 2021
• 页码: 313-335
• 关键词: transparency; Municipal market; transaction costs; trading volume; Market making

摘要

The Real-Time Transaction Reporting System (RTRS) reduced the delay in reporting municipal bond trades from one-day to 15 min. We find a significant reduction in secondary market trading costs after the introduction of the RTRS. Our estimates imply that retail investors benefited primarily from reduced dealer intermediation costs, while large trades benefited from reductions in bargaining costs. Bonds experienced increases in trading volume across the liquidity spectrum. We find higher dealer capital commitment, longer intermediation chains, and fewer pre-arranged trades, all suggesting increased market-making incentives for dealers. These results are largely consistent with predictions from search-based models. (C) 2020 Elsevier B.V. All rights reserved.