Do Municipal Bond Dealers Give Their Customers Fair and Reasonable Pricing?

• 成果类型: Article
• 署名作者: Griffin, John M.; Hirschey, Nicholas; Kruger, Samuel
• 署名单位: Universidade Nova de Lisboa
• 刊物名称: JOURNAL OF FINANCE
• ISSN/ISSBN: 0022-1082
• DOI: 10.1111/jofi.13214
• 发表日期: 2023
• 页码: 887-934
• 关键词: trading costs; presidential-address; PENNY WISE; MARKET; TRANSPARENCY; microstructure; intermediation; Aftermarket; liquidity; FOOLISH

摘要

Municipal bonds exhibit considerable retail pricing variation, even for same-size trades of the same bond on the same day, and even from the same dealer. Markups vary widely across dealers. Trading strongly clusters on eighth price increments, and clustered trades exhibit higher markups. Yields are often lowered to just above salient numbers. Machine learning estimates exploiting the richness of the data show that dealers that use strategic pricing have systematically higher markups. Recent Municipal Securities Rulemaking Board rules have had only a limited impact on markups. While a subset of dealers focus on best execution, many dealers appear focused on opportunistic pricing.