TY - JOUR
T1 - A survey of the microstructure of fixed-income markets
AU - Bessembinder, Hendrik
AU - Spatt, Chester
AU - Venkataraman, Kumar
N1 - Publisher Copyright:
© Michael G. Foster School of Business, University of Washington 2019.
PY - 2020/2/1
Y1 - 2020/2/1
N2 - In this article, we survey the literature that studies fixed-income trading rules and outcomes, including Treasury securities, corporate and municipal bonds, and structured credit products. We compare and contrast the microstructure and regulation of fixed-income markets with equity markets. We highlight the nature of over-the-counter trading in the face of search costs and the associated slow evolution of electronically facilitated intermediation. We discuss the databases available to study fixed-income microstructure, as well as measures and determinants of trading costs, and the important roles dealer networks and limited transparency play. We also highlight unresolved issues.
AB - In this article, we survey the literature that studies fixed-income trading rules and outcomes, including Treasury securities, corporate and municipal bonds, and structured credit products. We compare and contrast the microstructure and regulation of fixed-income markets with equity markets. We highlight the nature of over-the-counter trading in the face of search costs and the associated slow evolution of electronically facilitated intermediation. We discuss the databases available to study fixed-income microstructure, as well as measures and determinants of trading costs, and the important roles dealer networks and limited transparency play. We also highlight unresolved issues.
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U2 - 10.1017/S0022109019000231
DO - 10.1017/S0022109019000231
M3 - Article
AN - SCOPUS:85063623800
SN - 0022-1090
VL - 55
SP - 1
EP - 45
JO - Journal of Financial and Quantitative Analysis
JF - Journal of Financial and Quantitative Analysis
IS - 1
ER -