A Survey of the Microstructure of Fixed-Income Markets

Hendrik Bessembinder, Chester Spatt, Kumar Venkataraman

Research output: Contribution to journalArticle

Abstract

This paper surveys 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 for the study of fixed-income microstructure, as well as measures of trading costs and the determinants thereof, and the important roles of dealer networks and limited transparency. We also highlight unresolved issues.

Original languageEnglish (US)
JournalJournal of Financial and Quantitative Analysis
DOIs
StatePublished - Jan 1 2019

Fingerprint

Microstructure
Fixed income
Intermediation
Credit
Trading costs
Data base
Treasury securities
Municipal bonds
Corporate bonds
Equity markets
Trading rules
Dealers
Transparency
Search costs

ASJC Scopus subject areas

  • Accounting
  • Finance
  • Economics and Econometrics

Cite this

A Survey of the Microstructure of Fixed-Income Markets. / Bessembinder, Hendrik; Spatt, Chester; Venkataraman, Kumar.

In: Journal of Financial and Quantitative Analysis, 01.01.2019.

Research output: Contribution to journalArticle

@article{0d48317934b24c3c8ebfa1d6dfec158c,
title = "A Survey of the Microstructure of Fixed-Income Markets",
abstract = "This paper surveys 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 for the study of fixed-income microstructure, as well as measures of trading costs and the determinants thereof, and the important roles of dealer networks and limited transparency. We also highlight unresolved issues.",
author = "Hendrik Bessembinder and Chester Spatt and Kumar Venkataraman",
year = "2019",
month = "1",
day = "1",
doi = "10.1017/S0022109019000231",
language = "English (US)",
journal = "Journal of Financial and Quantitative Analysis",
issn = "0022-1090",
publisher = "Cambridge University Press",

}

TY - JOUR

T1 - A Survey of the Microstructure of Fixed-Income Markets

AU - Bessembinder, Hendrik

AU - Spatt, Chester

AU - Venkataraman, Kumar

PY - 2019/1/1

Y1 - 2019/1/1

N2 - This paper surveys 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 for the study of fixed-income microstructure, as well as measures of trading costs and the determinants thereof, and the important roles of dealer networks and limited transparency. We also highlight unresolved issues.

AB - This paper surveys 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 for the study of fixed-income microstructure, as well as measures of trading costs and the determinants thereof, and the important roles of dealer networks and limited transparency. We also highlight unresolved issues.

UR - http://www.scopus.com/inward/record.url?scp=85063623800&partnerID=8YFLogxK

UR - http://www.scopus.com/inward/citedby.url?scp=85063623800&partnerID=8YFLogxK

U2 - 10.1017/S0022109019000231

DO - 10.1017/S0022109019000231

M3 - Article

AN - SCOPUS:85063623800

JO - Journal of Financial and Quantitative Analysis

JF - Journal of Financial and Quantitative Analysis

SN - 0022-1090

ER -