The execution quality of corporate bonds

• 成果类型: Article
• 署名作者: O' Hara, Maureen; Wang, Yihui; Zhou, Xing (Alex)
• 署名单位: Cornell University; University of Technology Sydney; Fordham University; Federal Reserve System - USA; Federal Reserve System Board of Governors
• 刊物名称: JOURNAL OF FINANCIAL ECONOMICS
• ISSN/ISSBN: 0304-405X
• DOI: 10.1016/j.jfineco.2018.06.009
• 发表日期: 2018
• 页码: 308-326
• 关键词: Execution quality; Corporate bonds; Market microstructure; DEALER MARKET; Trading network; TRANSPARENCY

摘要

This paper investigates execution quality issues in corporate bond trading. Using an extensive sample of bond trades by insurance companies, we find that an insurance company entering a trade of similar size and on the same side for the same bond on the same day with the same dealer will receive a better price if the insurance company is a more active trader than if it is a less active trader. Trading with the dominant dealer or underwriter worsens these differentials, while greater transparency and smaller trading networks lessens these effects. Our results provide strong evidence that execution quality differences remain pervasive in corporate bond trading. (C) 2018 Elsevier B.V. All rights reserved.