Transparency and dealer networks: Evidence from the initiation of post-trade reporting in the mortgage backed security market

• 成果类型: Article
• 署名作者: Schultz, Paul; Song, Zhaogang
• 署名单位: University of Notre Dame; Johns Hopkins University
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2019.01.007
• 发表日期: 2019
• 页码: 113-133
• 关键词: Dealer market; TRANSPARENCY; Mortgage backed securities; core-periphery

摘要

We examine the introduction of mandatory post-trade reporting in the To-Be-Announced mortgage-backed securities market. With post-trade reporting, trading costs fell for institutional investors. Trading costs declined more for investors' trades with peripheral dealers than for their trades with core dealers. Peripheral dealers' market share dropped after the introduction of post-trade reporting, suggesting that opacity was protecting inefficient high-cost dealers. Interdealer trades and volume declined as transparency made it easier to find natural counterparties. Relationships between dealers became less important and, after controlling for the number of trades, dealers used more counterparties in interdealer trades. (C) 2019 Elsevier B.V. All rights reserved.